panelvar: girf – R documentation

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girf

Generalized Impulse Response Function

Generalized Impulse Response Function

girf(model, n.ahead, ma_approx_steps)

## S3 method for class 'pvargmm'
girf(model, n.ahead, ma_approx_steps)

`model`	A PVAR model
`n.ahead`	Any stable AR() model has an infinite MA representation. Hence any shock can be simulated infinitely into the future. For each forecast step t you need an addtional MA term.
`ma_approx_steps`	MA approximation steps

data("ex1_dahlberg_data")
girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)

Panel Vector Autoregression

v0.5.3

GPL (>= 2)

Authors

Michael Sigmund [aut], Robert Ferstl [aut, cre]

Initial release