plot_irf_grid

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_grid function

<dl><dt>irf</dt>
<dd>the irf object computed using impulseResponse</dd>
<dt>eb</dt>
<dd>the error bands estimated using errorBands</dd>
<dt>indexes</dt>
<dd>a vector containing the indices that you want to plot</dd>
<dt>type</dt>
<dd>plot the irf (<code>type = "irf"</code> by default) or the
orthogonal irf (<code>type = "oirf"</code>)</dd>
<dt>bands</dt>
<dd>which type of bands to plot ("quantiles" (default) or "sd")</dd></dl>

Arguments

IRF grid plot — plot_irf_grid

<dl>

<dt>irf</dt>
<dd>the irf object computed using impulseResponse</dd>


<dt>eb</dt>
<dd>the error bands estimated using errorBands</dd>


<dt>indexes</dt>
<dd>a vector containing the indices that you want to plot</dd>


<dt>type</dt>
<dd>plot the irf (<code>type = "irf"</code> by default) or the
orthogonal irf (<code>type = "oirf"</code>)</dd>


<dt>bands</dt>
<dd>which type of bands to plot ("quantiles" (default) or "sd")</dd>

</dl>

plot_irf_grid: IRF grid plot

Description

Usage

Value

Arguments