svars (version 1.3.11)

irf: Impulse Response Functions for SVAR Models

Description

Calculation of impulse response functions for an identified SVAR object 'svars' derived by function id.cvm( ),id.cv( ),id.dc( ), id.ngml( ) or id.st( ).

Usage

# S3 method for svars
irf(x, ..., n.ahead = 20)

Value

A list with class attribute "svarirf" holding the impulse response functions as data frame.

Arguments

x

SVAR object of class "svars".

...

Currently not used.

n.ahead

Integer specifying the steps.

References

Luetkepohl, H., 2005. New introduction to multiple time series analysis, Springer-Verlag, Berlin.

See Also

id.cvm, id.dc, id.ngml, id.cv or id.st

Examples

# \donttest{
v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.ngml(v1)
x2 <- irf(x1, n.ahead = 20)
plot(x2)
# }