Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots
Parameters : | model : VAR instance |
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Notes
Using Lutkepohl (2005) notation
Methods
G() | |
H() | |
cov([orth]) | Compute asymptotic standard errors for impulse response coefficients .. |
cum_effect_cov([orth]) | Compute asymptotic standard errors for cumulative impulse response |
cum_effect_stderr([orth]) | |
cum_errband_mc([orth, repl, signif, seed, burn]) | IRF Monte Carlo integrated error bands of cumulative effect |
err_band_sz1([orth, svar, repl, signif, ...]) | IRF Sims-Zha error band method 1. Assumes symmetric error bands around |
err_band_sz2([orth, repl, signif, seed, ...]) | IRF Sims-Zha error band method 2. |
err_band_sz3([orth, repl, signif, seed, ...]) | IRF Sims-Zha error band method 3. Does not assume symmetric error bands around mean. |
errband_mc([orth, svar, repl, signif, seed, ...]) | IRF Monte Carlo integrated error bands |
fevd_table() | |
lr_effect_cov([orth]) | |
lr_effect_stderr([orth]) | |
plot([orth, impulse, response, signif, ...]) | Plot impulse responses |
plot_cum_effects([orth, impulse, response, ...]) | Plot cumulative impulse response functions |
stderr([orth]) |