irf.varshrinkest

Computes the impulse response coefficients of a VAR(p)
(or transformed VECM to VAR(p)) for n.ahead steps.

Vector autoregressive (VAR) model is a fundamental and effective approach
for multivariate time series analysis. Shrinkage estimation methods can be
applied to high-dimensional VAR models with dimensionality greater than
the number of observations, contrary to the standard ordinary least squares
method. This package is an integrative package delivering nonparametric,
parametric, and semiparametric methods in a unified and consistent manner,
such as the multivariate ridge regression in Golub, Heath, and Wahba (1979)
<doi:10.2307/1268518>, a James-Stein type nonparametric shrinkage method in
Opgen-Rhein and Strimmer (2007) <doi:10.1186/1471-2105-8-S2-S3>, and
Bayesian estimation methods using noninformative and informative priors
in Lee, Choi, and S.-H. Kim (2016) <doi:10.1016/j.csda.2016.03.007> and
Ni and Sun (2005) <doi:10.1198/073500104000000622>.

Namgil Lee

VARshrink

Shrinkage Estimation Methods for Vector Autoregressive Models

Heon Young Yang

Sung-Ho Kim

irf.varshrinkest function

<dl><dt>x</dt>
<dd>Object of class "varshrinkest",
generated by <code>VARshrink()</code></dd>
<dt>impulse</dt>
<dd>A character vector of the impulses,
default is all variables.</dd>
<dt>response</dt>
<dd>A character vector of the responses,
default is all variables.</dd>
<dt>n.ahead</dt>
<dd>Integer specifying the steps.</dd>
<dt>ortho</dt>
<dd>Logical, if TRUE (the default) the
orthogonalised impulse response coefficients are
computed (only for objects of class 'varshrinkest').</dd>
<dt>cumulative</dt>
<dd>Logical, if TRUE the cumulated impulse
response coefficients are computed. The default value
is false.</dd>
<dt>boot</dt>
<dd>Logical, if TRUE (the default) bootstrapped
error bands for the imuplse response coefficients are
computed.</dd>
<dt>ci</dt>
<dd>Numeric, the confidence interval for the
bootstrapped errors bands.</dd>
<dt>runs</dt>
<dd>An integer, specifying the runs for the
bootstrap.</dd>
<dt>seed</dt>
<dd>An integer, specifying the seed for the
rng of the bootstrap.</dd>
<dt>...</dt>
<dd>Currently not used.</dd></dl>

Arguments

Impulse response function — irf.varshrinkest

<dl>

<dt>x</dt>
<dd>Object of class "varshrinkest",
generated by <code>VARshrink()</code></dd>


<dt>impulse</dt>
<dd>A character vector of the impulses,
default is all variables.</dd>


<dt>response</dt>
<dd>A character vector of the responses,
default is all variables.</dd>


<dt>n.ahead</dt>
<dd>Integer specifying the steps.</dd>


<dt>ortho</dt>
<dd>Logical, if TRUE (the default) the
orthogonalised impulse response coefficients are
computed (only for objects of class 'varshrinkest').</dd>


<dt>cumulative</dt>
<dd>Logical, if TRUE the cumulated impulse
response coefficients are computed. The default value
is false.</dd>


<dt>boot</dt>
<dd>Logical, if TRUE (the default) bootstrapped
error bands for the imuplse response coefficients are
computed.</dd>


<dt>ci</dt>
<dd>Numeric, the confidence interval for the
bootstrapped errors bands.</dd>


<dt>runs</dt>
<dd>An integer, specifying the runs for the
bootstrap.</dd>


<dt>seed</dt>
<dd>An integer, specifying the seed for the
rng of the bootstrap.</dd>


<dt>...</dt>
<dd>Currently not used.</dd>

</dl>

irf.varshrinkest: Impulse response function

Description

Usage

Value

Arguments

Details

See Also