irf.bvar {BVAR} | R Documentation |

Retrieves / calculates impulse response functions (IRFs) and/or forecast
error variance decompositions (FEVDs) for Bayesian VARs generated via
`bvar`

. If the object is already present and no settings are
supplied it is simply retrieved, otherwise it will be calculated ex-post.
Note that FEVDs require the presence / calculation of IRFs.
To store the results you may want to assign the output using the setter
function (`irf(x) <- irf(x)`

). May also be used to update
confidence bands.

## S3 method for class 'bvar' irf(x, ..., conf_bands, n_thin = 1L) ## S3 method for class 'bvar' fevd(x, ..., conf_bands, n_thin = 1L) irf(x, ...) irf(x) <- value fevd(x, ...) fevd(x) <- value ## S3 method for class 'bvar_irf' summary(object, vars_impulse = NULL, vars_response = NULL, ...)

`x, object` |
A |

`...` |
A |

`conf_bands` |
Numeric vector of confidence bands to apply.
E.g. for bands at 5%, 10%, 90% and 95% set this to |

`n_thin` |
Integer scalar. Every |

`value` |
A |

`vars_impulse, vars_response` |
Optional numeric or character vector.
Used to subset the summary method's outputs to certain variables by position
or name (must be available). Defaults to |

Returns a list of class `bvar_irf`

including IRFs and optionally
FEVDs at desired confidence bands. The `fevd`

method only returns a
the nested `bvar_fevd`

object.
The summary method returns a numeric array of impulse responses at the
specified confidence bands.

# Access a subset of the fred_qd dataset data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")] # Transform it to be stationary data <- fred_transform(data, codes = c(5, 5, 1), lag = 4) # Estimate a BVAR using one lag, default settings and very few draws x <- bvar(data, lags = 1, n_draw = 600L, n_burn = 100L, verbose = FALSE) # Compute + store IRF with a longer horizon, no identification and thinning irf(x) <- irf(x, bv_irf(horizon = 24L, identification = FALSE), n_thin = 5L) # Update the confidence bands of the IRFs irf(x, conf_bands = c(0.01, 0.05, 0.1)) # Recalculate with sign restrictions provided via the ellipsis irf(x, sign_restr = matrix(c(1, NA, NA, -1, 1, -1, -1, 1, 1), nrow = 3)) # Recalculate with zero and sign restrictions provided via the ellipsis irf(x, sign_restr = matrix(c(1, 0, 1, NA, 1, 1, -1, -1, 1), nrow = 3)) # Calculate the forecast error variance decomposition fevd(x) # Get a summary of the saved impulse response function summary(x) # Limit the summary to responses of variable #2 summary(x, vars_response = 2L)

[Package *BVAR* version 1.0.2 Index]