[R-SIG-Finance] package(vars) and generalized impulse response functions
matthieu.stigler at gmail.com
Wed Nov 4 09:56:56 CET 2009
Do you refer to generalized impulse response functions such as in Koop
et al (1996) and Pesaran and Shin (1998) where focus is on
investigating the distribution of any shock at n, taking into account
further shocks at n+1, n+2...?
If yes, this is not to my knowledge available in R. Package vars does
not provide it at least, options ortho just asks whether a Choleski
decomposition (with ordering as in the input matrix) should be done,
and cumulative whether effects of shocks should be added.
Note btw that even if very interesting, it seems that GIRF did not
have big sucess. I personally saw only a few paper using it, and I'm
not aware of any textbook presenting it, while they all discuss in
details usual IRF.
2009/11/4 Vimal B <vimsaa at gmail.com>:
> I was wondering whether the package(vars) can estimate generalized impulse
> response functions for VARs / VECMs.
> The general option on package(vars) available is:-
> suppose I want to give a shock to 'a' and observe the response of 'b', then
> irf(x, impulse=a, response=b, n.ahead=10,
> The vignettes and manuals says that the default is 'ortho=TRUE' (and the
> other option is cumulative=NULL).
> Or is there any other package one would suggest?
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