greybox (version 2.0.8)

multipliers: Dynamic multipliers from an ARDL model

Description

This function extracts the beta (distributed lag) coefficients for a specific variable from an estimated ALM model and ARIMA(p,d,0) polynomials. It then uses them to calculate dynamic multipliers for that variable for the horizon h.

Usage

multipliers(object, parm, h = 10)

Value

Numeric vector of dynamic multipliers over time

Arguments

object

An estimated ALM model object (with coefficients from coef()).

parm

Character string of the variable name.

h

Horizon for which to produce the dynamic multipliers.

See Also

, B for creating lagged variables

Examples

if (FALSE) {
  # Fit a model with lagged variables
  test <- alm(drivers ~ kms + law + B(kms, 1) + B(kms, 2),
              Seatbelts, orders = c(1, 0, 0))
  multipliers(test, "kms", h=10)
}