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