ragt2ridges (version 0.3.4)

impulseResponseVAR1: Impulse response analysis of the VAR(1) model

Description

Evaluate the impulse responses of the VAR(1) model. It assesses the effect of an innovation (error) at one time point on the variates at future time points. In the VAR(1) model this amounts to studying powers of \(\mathbf{A}\), the matrix of autoregression coefficients.

Usage

impulseResponseVAR1(A, T)

Arguments

A

A matrix \(\mathbf{A}\) of autoregression parameters.

T

Positive numeric of length one specifying the time points for which the impulse response is to be evaluated.

Value

Object of class matrix. Rows and columns correspond to covariates, elements to the impulse response of 'row variate' on the 'columns variate' on T time points from the current.

References

Hamilton, J. D. (1994), Time Series Analysis. Princeton: Princeton university press.

Lutkepohl, H. (2005), New Introduction to Multiple Time Series Analysis. Springer, Berlin.

See Also

ridgeVAR1.

Examples

# NOT RUN {
# set dimensions
p <- 3
n <- 4
T <- 10

# set model parameters
SigmaE <- diag(p)/4
A      <- matrix(c(-0.1, -0.3, 0.6, 0.5, -0.4, 0, 0.3, -0.5, -0.2), 
                 byrow=TRUE, ncol=3)

# generate data
Y <- dataVAR1(n, T, A, SigmaE)

# fit VAR(1) model
VAR1hat <- ridgeVAR1(Y, 1, 1)

# impulse response analysis
impulseResponseVAR1(VAR1hat$A, 10)
# }