Generalised Impulse Response Function (GIRF) for R package tsDyn

This code allows to use Generalised Impulse Response Function (GIRF) for tsDyn. Code written by Alexander Haider.

Use:

source("https://raw.githubusercontent.com/MatthieuStigler/tsDyn_GIRF/master/GIRF2")
library(tsDyn)
data(zeroyld)

resT <- TVAR(zeroyld, lag=2, nthresh=2, thDelay=1, trim=0.1, mTh=1, plot=FALSE)

resGIRF <- GIRF(resT)
plot(cumsum(resGIRF[,2,3]), type='l')
plot(resGIRF[,2,3], type='l')

There are five arguments:

res: estimation result from TVAR
hor=20: impulse response horizon
shk: shock size (in standard deviations)
shVar: shocked Variable
replic=100: no. bootstrap replications

For more details, see original post on tsDyn mailing list: https://groups.google.com/forum/#!topic/tsdyn/XFF6lKOjqww

martinbaumgaertner / tsDyn_GIRF

Generalised Impulse Response Function (GIRF) for R package tsDyn

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