[R-SIG-Finance] plotting with package vars
Matthieu Stigler
matthieu.stigler at gmail.com
Sun Dec 14 15:05:08 CET 2008
Dear Ivan
Concerning your second question, the same scale of the y axis, I just
had the same problem and modified the function, ading an argument
same.scale=TRUE or FALSE. You can use it if you want, just use it with
source() and set same.scale default value as you want. It may still have
some probs, did not check extensively... let me know.
Mat
Ivan Sutoris a écrit :
> Hello
>
> I've been trying to estimate structural VAR model with package "vars"
> and I've encountered some issues with plotting functions from this
> package (I hope I'm posting to the right list). I'm using R 2.8.0 in
> Windows:
>
> 1. After estimating VAR model with "VAR" function, I tried to plot the
> result using plot method for varest object. I wanted to save plots in
> separate files, so I used "names" property to create individual plots
> for individual variables. However, the result showed always data for
> the first variable, regardless of what I specified in names. Small
> example:
>
> library(vars)
> data(Canada)
> mymodel <- VAR(Canada)
> plot(mymodel, names="e")
> windows() # open new figure
> plot(mymodel, names="prod")
>
> I get two figures, which are exactly the same, both plotting the fit
> for "e", the first variable - this seems like a bug.
>
> 2. When plotting imuplse-response functions, (plot method for varirf
> object), y-range for all variables is set the same. This can be
> problematic when variables have different scales, but I haven't found
> a way to specify the range manually. Is it possible?
>
> Thanks in advance for your time
>
> Ivan Sutoris
> student (applied mathematics)
> Comenius University, Bratislava, Slovakia
>
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>
"plot.varirf" <-
function (x, plot.type = c("multiple", "single"), names = NULL,
main = NULL, sub = NULL, lty = NULL, lwd = NULL, col = NULL, ylim =
NULL,
ylab = NULL, xlab = NULL, nc, mar.multi = c(0, 4, 0, 4),
oma.multi = c(6, 4, 6, 4), adj.mtext = NA, padj.mtext = NA,
col.mtext = NA, same.scale=FALSE,...)
{
op <- par(no.readonly = TRUE)
on.exit(par(op))
##
## Checking of arguments
##
plot.type <- match.arg(plot.type)
inames <- x$impulse
rnames <- x$response
if (is.null(names)) {
names <- inames
}
else {
names <- as.character(names)
if (!(all(names %in% inames))) {
warning("\nInvalid variable name(s) supplied, using first
variable.\n")
inames <- inames[1]
}
else {
inames <- names
}
}
nvi <- length(inames)
nvr <- length(rnames)
##
## Presetting certain plot-argument
ifelse(is.null(lwd), lwd <- c(1, 1, 1, 1), lwd <- rep(lwd, 4)[1:4])
ifelse(is.null(col), col <- c("black", "gray", "red", "red"), col <-
rep(col, 4)[1:4])
##
## Extract data from object for plotting per iname
##
dataplot <- function(x, iname){
impulses <- x$irf[[iname]]
range <- t(apply(impulses, 2, range))
upper <- NULL
lower <- NULL
if(x$boot){
upper <- x$Upper[[iname]]
lower <- x$Lower[[iname]]
range <- cbind( apply(lower, 2,min),apply(upper, 2, max))
}
ifelse(same.scale, range<-matrix(range(range), ncol=2,
nrow=ncol(impulses), byrow=TRUE), range<-range)
if ((x$model == "varest") || (x$model == "vec2var")) {
if (x$ortho) {
text1 <- paste("Orthogonal Impulse Response from", iname, sep
= " ")
} else {
text1 <- paste("Impulse Response from", iname, sep = " ")
}
} else if (x$model == "svarest") {
text1 <- paste("SVAR Impulse Response from", iname, sep = " ")
} else if (x$model == "svecest") {
text1 <- paste("SVECM Impulse Response from", iname, sep = " ")
}
if (x$cumulative) text1 <- paste(text1, "(cumulative)", sep = " ")
text2 <- ""
if (x$boot) text2 <- paste((1 - x$ci) * 100, "% Bootstrap CI, ",
x$runs, "runs")
result <- list(impulses = impulses, upper = upper, lower = lower,
range = range, text1 = text1, text2 = text2)
return(result)
}
##
## Plot function for irf per impulse and response
##
plot.single <- function(x, iname, rname, ylim,...) {
ifelse(is.null(main), main <- x$text1, main <- main)
ifelse(is.null(sub), sub <- x$text2, sub <- sub)
xy <- xy.coords(x$impulse[, rname])
ifelse(is.null(ylab), ylabel <- rname, ylabel <- ylab)
ifelse(is.null(xlab), xlabel <- "", xlabel <- xlab)
plot(xy, type = "l", ylim = ylim, col = col[1], lty = lty[1], lwd
= lwd[1], axes = FALSE, ylab = paste(ylabel), xlab = paste(xlab), ...)
title(main = main, sub = sub, ...)
axis(1, at = xy$x, labels = c(0:(length(xy$x) - 1)))
axis(2, ...)
box()
if (!is.null(x$upper)) lines(x$upper[, rname], col = col[3], lty =
lty[3], lwd = lwd[3])
if (!is.null(x$lower)) lines(x$lower[, rname], col = col[3], lty =
lty[3], lwd = lwd[3])
abline(h = 0, col = col[2], lty = lty[2], lwd = lwd[2])
}
##
## Plot function per impulse
##
plot.multiple <- function(dp, nc = nc, ...){
x <- dp$impulses
y <- dp$upper
z <- dp$lower
ifelse(is.null(main), main <- dp$text1, main <- main)
ifelse(is.null(sub), sub <- dp$text2, sub <- sub)
ifelse(is.null(ylim), ylim <- dp$range, ylim <- matrix(ylim,
ncol=2, nrow=ncol(x), byrow=TRUE))
range <- range(c(x, y, z))
nvr <- ncol(x)
if (missing(nc)) {
nc <- ifelse(nvr > 4, 2, 1)
}
nr <- ceiling(nvr/nc)
par(mfrow = c(nr, nc), mar = mar.multi, oma = oma.multi)
if(nr > 1){
for(i in 1:(nvr - nc)){
ifelse(is.null(ylab), ylabel <- colnames(x)[i], ylabel <- ylab)
xy <- xy.coords(x[, i])
plot(xy, axes = FALSE, type = "l", ylab = ylabel, ylim =
ylim[i,], col = col[1], lty = lty[1], lwd = lwd[1], ...)
axis(2, at = pretty(ylim[i,])[-1])
abline(h = 0, col = "red")
if(!is.null(y)) lines(y[, i], col = col[3], lty = lty[3], lwd
= lwd[3])
if(!is.null(z)) lines(z[, i], col = col[3], lty = lty[3], lwd
= lwd[3])
box()
}
for(j in (nvr - nc + 1):nvr){
ifelse(is.null(ylab), ylabel <- colnames(x)[j], ylabel <- ylab)
xy <- xy.coords(x[, j])
plot(xy, axes = FALSE, type = "l", ylab = ylabel, ylim =
ylim[j,], col = col[1], lty = lty[1], lwd = lwd[1], ...)
axis(2, at = pretty(ylim[j,])[-1])
axis(1, at = 1:(nrow(x)), labels = c(0:(nrow(x) - 1)))
box()
abline(h = 0, col = "red")
if(!is.null(y)) lines(y[, j], col = col[3], lty = lty[3], lwd
= lwd[3])
if(!is.null(z)) lines(z[, j], col = col[3], lty = lty[3], lwd
= lwd[3])
}
mtext(main, 3, line = 2, outer = TRUE, adj = adj.mtext, padj =
padj.mtext, col = col.mtext, ...)
mtext(sub, 1, line = 4, outer = TRUE, adj = adj.mtext, padj =
padj.mtext, col = col.mtext, ...)
} else {
for(j in 1:nvr){
ifelse(is.null(ylab), ylabel <- colnames(x)[j], ylabel <- ylab)
xy <- xy.coords(x[, j])
plot(xy, type = "l", ylab = ylabel, ylim = ylim[j,], col =
col[1], lty = lty[1], lwd = lwd[1], ...)
if(!is.null(y)) lines(y[, j], col = col[3], lty = lty[3], lwd
= lwd[3])
if(!is.null(z)) lines(z[, j], col = col[3], lty = lty[3], lwd
= lwd[3])
abline(h = 0, col = "red")
}
mtext(main, 3, line = 2, outer = TRUE, adj = adj.mtext, padj =
padj.mtext, col = col.mtext, ...)
mtext(sub, 1, line = 4, outer = TRUE, adj = adj.mtext, padj =
padj.mtext, col = col.mtext, ...)
}
}
##
## Plot for type = single
##
if (plot.type == "single") {
for(i in 1:nvi){
dp <- dataplot(x, iname = inames[i])
ifelse(is.null(ylim), ylimVal <- dp$range, ylimVal <- matrix(ylim,
ncol=2, nrow=ncol(x), byrow=TRUE))
for(j in 1:nvr){
plot.single(dp, iname = inames[i], rname = rnames[j],
ylim=ylimVal[j,],...)
if (nvr > 1) par(ask = TRUE)
}
}
}
##
## Plot for type = multiple
##
if (plot.type == "multiple") {
for (i in 1:nvi) {
dp <- dataplot(x, iname = inames[i])
plot.multiple(dp, nc = nc, ...)
if (nvi > 1) par(ask = TRUE)
}
}
}
library(vars)
environment(plot.varirf)<-environment(Phi)
if(FALSE){
library(vars)
data(Canada)
c<-VAR(Canada)
i<-irf(c)
environment(plot.varirf)<-environment(Phi)
plot(i, same.scale=FALSE, plot.type="multiple")
plot(i, same.scale=FALSE, plot.type="single")
environment(plot.varirf2)<-environment(Phi)
plot.varirf2(i, plot.type="single")
dataplot(i, "rw")
matrix(1:2, ncol=2, nrow=4, byrow=TRUE)
nr <- ceiling(nvr/nc)
}
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