Visualization of the impulse responses. Responses are plotted on a grid, where rows correspond to variables and columns correspond to shocks.
# S3 method for bayesianVARs_irf
plot(
x,
vars = "all",
quantiles = c(0.05, 0.25, 0.5, 0.75, 0.95),
default_hair_color = "#FF000003",
true_irf = NULL,
...
)An object of type bayesianVARs_irf obtained via
irf.
character vector containing the names of the variables to be
visualized. The default is "all" indicating that all variables are
visualized.
numeric vector indicating which quantiles to plot. If
hairy=TRUE was specified when calling irf, a proportion of max(quantiles) IRFs will be plotted.
Specify 0 to plot a point-estimate only. If hairy=FALSE was specified (the default),
point-wise quantiles will be plotted. Note that the curve of point-wise medians is not necessarily
in the set of IRFs (see Inoue 2022).
the color of the IRF samples, if hairy=TRUE was specified.
If the true IRFs are known (because the data was simulated) they can be plotted alongside
the estimates, such that the quality of the estimates may be judged. true_irf should be a numeric array
with dimensions variables, shocks and time, in that order.
Currently ignored!
Stefan Haan sthaan@edu.aau.at
Inoue, A. and Kilian, L. (2022). Joint Bayesian inference about impulse responses in VAR models. Journal of Econometrics, tools:::Rd_expr_doi("10.1016/j.jeconom.2021.05.010").
irf