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as_statespace_var()
Convert a VAR with p lags to a statespace representation with just one lag
bootstrap()
Identify the main shock by targetting the forecast error variance contribution in the frequency domain.
fe()
Calculate the historical forecast error for a VAR out to a specified horizon
fev()
Calculate the forecast error variance for a VAR out to a specified horizon
fevd(<fevdvar> )
Forecast error variance decomposition.
fevdfd()
Calculate either the forecast error variance or fevd (default) in the frequency domain.
fevfd()
Wrapper for fevdfd that defaults to fev = TRUE.
forecast()
Calculate the forecasts for a VAR out to a specified horizon Conditions on information at time "t"
hd()
Calculate the historical decomposition for a VAR.
hist_shocks()
Find the historical shocks for a VAR
hd(<fevdvar> ) hs()
Method to calculate fevdfd for fevdvar (id_fevdfd or id_fevdtd)
id_fevdfd()
Identify the main shock by targetting the forecast error variance contribution in the frequency domain.
id_fevdfd_findq()
Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable.
id_fevdtd()
Identify the main shock by targetting the forecast error variance contribution in the time domain.
id_fevdtd_findq()
Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable.
id_ordered_chol()
Identify a VAR with a Cholesky ordering assumption. Assumes the given order of the variables in the VAR, reorder the data first to get a different ordering.
irf(<fevdvar> ) irf(<bvartools> )
Impulse Responses.
irf_ssv()
Simple IRF function for statespace VARs
irffd()
Calculate either the IRF in the frequency domain.
irffd_generic()
Find the IRF in FD for a VAR
plot(<irffd> ) plot(<fevdfd> ) plot(<fevfd> ) plot(<fevdfevd> ) plot(<fevdirf> ) plot(<fevdfev> ) plot(<fevdhs> ) plot(<fevdhd> )
Plot the IRF in frequency domain.