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Impulse Responses Plot

Source: R/plots.R
plot.bayesianVARs_irf.Rd

Visualization of the impulse responses. Responses are plotted on a grid, where rows correspond to variables and columns correspond to shocks.

Usage

# S3 method for class 'bayesianVARs_irf'
plot(
  x,
  vars = "all",
  quantiles = c(0.05, 0.25, 0.5, 0.75, 0.95),
  default_hair_color = "#FF000003",
  true_irf = NULL,
  ...
)

Arguments

x

An object of type bayesianVARs_irf obtained via irf.

vars

character vector containing the names of the variables to be visualized. The default is "all" indicating that all variables are visualized.

quantiles

numeric vector indicating which quantiles to plot. If hairy=TRUE was specified when calling irf, a proportion of max(quantiles) IRFs will be plotted. Specify 0 to plot a point-estimate only. If hairy=FALSE was specified (the default), point-wise quantiles will be plotted. Note that the curve of point-wise medians is not necessarily in the set of IRFs (see Inoue 2022).

default_hair_color

the color of the IRF samples, if hairy=TRUE was specified.

true_irf

If the true IRFs are known (because the data was simulated) they can be plotted alongside the estimates, such that the quality of the estimates may be judged. true_irf should be a numeric array with dimensions variables, shocks and time, in that order.

...

Currently ignored!

References

Inoue, A. and Kilian, L. (2022). Joint Bayesian inference about impulse responses in VAR models. Journal of Econometrics, doi:10.1016/j.jeconom.2021.05.010 .

See also

irf

Author

Stefan Haan sthaan@edu.aau.at