Contents
How to calculate the impulse response of a Var?
The impulse response coefficients of a VAR (p) for n.ahead steps are computed by utilising either the function Phi () or Psi (). If boot = TRUE (the default), confidence bands for a given width specified by ci are derived from runs bootstrap. Hereby, it is at the users leisure to set a seed for the random number generator.
Which is the default of the IRF function?
A character vector of the impulses, default is all variables. A character vector of the responses, default is all variables. Integer specifying the steps. Logical, if TRUE (the default) the orthogonalised impulse response coefficients are computed (only for objects of class ‘ varest ’).
How is a character vector generated in IRF?
Object of class ‘ varest ’; generated by VAR (), or object of class ‘ svarest ’; generated by SVAR (), or object of class ‘ vec2var ’; generated by vec2var (), or object of class ‘ svecest ’; generated by SVEC (). A character vector of the impulses, default is all variables. A character vector of the responses, default is all variables.
How are the confidence bands calculated in IRF?
In case cumulative = TRUE, the confidence bands are calculated from the cumulated impulse response coefficients. A list with matrices for each of the impulse variables containing the impulse response coefficients. If boot = TRUE, a list with matrices for each of the impulse variables containing the lower bands.
Which is the correct interpretation of the impulse response function?
I would strongly encourage you to read a an introduction in VAR estimation, e.g. Lütkepohl. The visual impulse response analysis is quite simple: The columns always indicate the reaction to one shock. The first column gives the reaction to an one time expansive fiscal policy (GS-Shock).
How to plot the impulse response of EUR?
In your first graph you plot the impulse-response of EUR to EUR. At the initial period, a positive shock on EUR will obviously lead the EUR to go up by the shock amount – thus the initial value of one.
What does an IRF mean for an impulse variable?
An IRF indicates what is the impact of an upward unanticipated one-unit change in the “impulse” variable on the “response” variable over the next several periods (typically 10). IRFs do not have coefficients.