plot_irf

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

plot_irf function

<dl><dt>irf</dt>
<dd>the irf object to plot</dd>
<dt>eb</dt>
<dd>the errorbands to plot</dd>
<dt>i</dt>
<dd>the first index</dd>
<dt>j</dt>
<dd>the second index</dd>
<dt>type</dt>
<dd><code>type = "irf"</code> or <code>type = "oirf"</code></dd>
<dt>bands</dt>
<dd><code>"quantiles"</code> or <code>"sd"</code></dd></dl>

Arguments

IRF plot — plot_irf

<dl>

<dt>irf</dt>
<dd>the irf object to plot</dd>


<dt>eb</dt>
<dd>the errorbands to plot</dd>


<dt>i</dt>
<dd>the first index</dd>


<dt>j</dt>
<dd>the second index</dd>


<dt>type</dt>
<dd><code>type = "irf"</code> or <code>type = "oirf"</code></dd>


<dt>bands</dt>
<dd><code>"quantiles"</code> or <code>"sd"</code></dd>

</dl>

plot_irf: IRF plot

Description

Usage

Value

Arguments