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Impulse Reponse Functions #6

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Impulse Reponse Functions #6

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@haansn08 haansn08 commented Dec 5, 2024

A basic implementation for computing and plotting impulse responses. Example usage:

train_data <- 100 * usmacro_growth[,c("GDPC1", "PCECC96", "GPDIC1", "AWHMAN", "GDPCTPI", "CES2000000008x", "FEDFUNDS", "GS10", "EXUSUKx", "S&P 500")]
prior_sigma <- specify_prior_sigma(data=train_data, type="cholesky")
mod <- bvar(train_data, lags=2L, draws=2000, prior_sigma=prior_sigma)
ir <- irf(mod, shock=c(0,0,0,0,0,0,1,0,0,0))
plot(ir, n_col=2)

Stefan Haan added 30 commits December 3, 2024 21:21
shocks can only be applied to factors
b2e07ff
plotting of bayesianVARs_irf objects
3f4587f
implement irf for cholesky model
b192f1f
write some documentation for irf
7a0f9a3
calculate structural parameters, some admissible transformations
26eddbf 
For more information see
"Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference"
RUBIO-RAMÍREZ, WAGGONER, ZHA
doi: 10.1111/j.1467-937X.2009.00578.x
find_rotation_cpp
a86eb10
find_rotation_cpp: allow passing multiple restrictions
cb81bf3
+specify_zero_restrictions
a2e69b3
Merge branch 'structural_restrictions' of github.com:haansn08/bayesia…
fbae8d1 
…nVARs into structural_restrictions
rotated irf for cholesky
ba7c9b4
Merge branch 'structural_restrictions' of github.com:haansn08/bayesia…
e9c8420 
…nVARs into structural_restrictions
fix deadly bugs
abbe7e8
add example usage for find_rotation, dashed line at y=0 for irf plotting
88c0261
add tolerance parameter for approximate rotations
477be2f
allow restrictions on the factor loadings
8b3745c
weighted sign restrictions
e2cd092
fix another deadly mistake
7096386
multiply sqrt(V_t) to the factor loadings
07283ed
sign restrictions using linear equations
302e3c3
always compute irfs for all shocks at once
4746135
make irf output compatible with bsvars
93143f1
mspe decomposition
954dad0
restrictions using linear programming
fbd3bc4
use lpSolveAPI properly
debb7e7
use B0_int_t=t(Sigma_chol) instead of B0_inv_t=Sigma_chol
ff75b23
fix another deadly mistake
e657f1e
plot true irf vs estimated irf, wrap lp_solve C API
7c3af8d
tell x to be non-zero more strongly
d410557
recycle LP, listen to user interrupts
da34a70
randomized solver
56bee77
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