Impulse responses for submodels

DESCRIPTION

@@ -46,8 +46,10 @@ Collate:
     'get_submodel_specifications.R'
     'gfevd.R'
     'girf.R'
+    'irf.bgvarest.R'
     'irf.ctryvarest.R'
     'plot.bgvarest.R'
+    'plot.bgvarestirf.R'
     'plot.bgvarfevd.R'
     'plot.bgvarirf.R'
     'plot.bgvarprd.R'

NAMESPACE

@@ -4,8 +4,10 @@ S3method(add_priors,gvarsubmodels)
 S3method(add_priors,gvecsubmodels)
 S3method(draw_posterior,gvarsubmodels)
 S3method(draw_posterior,gvecsubmodels)
+S3method(irf,bgvarest)
 S3method(irf,ctryvarest)
 S3method(plot,bgvarest)
+S3method(plot,bgvarestirf)
 S3method(plot,bgvarfevd)
 S3method(plot,bgvarirf)
 S3method(plot,bgvarprd)
@@ -42,5 +44,6 @@ exportPattern("^[[:alpha:]]+")
 importFrom(Rcpp,sourceCpp)
 importFrom(bvartools,add_priors)
 importFrom(bvartools,draw_posterior)
+importFrom(bvartools,irf)
 importFrom(coda,thin)
 useDynLib(bgvars, .registration = TRUE)

R/irf.bgvarest.R

@@ -0,0 +1,46 @@
+#' Impulse Response Function for a GVAR Submodel
+#' 
+#' Computes the impulse response coefficients of an object of class \code{"ctryvarest"} for
+#' \code{n.ahead} steps.
+#' 
+#' @param x an object of class \code{"ctryvarest"}, usually, a result of a call to
+#' \code{\link{draw_posterior.gvarsubmodels}} or \code{\link{ctryvec_to_ctryvar}}.
+#' @param impulse name of the impulse variable.
+#' @param response name of the response variable.
+#' @param n.ahead number of steps ahead.
+#' @param ci a numeric between 0 and 1 specifying the probability mass covered by the
+#' credible intervals. Defaults to 0.95.
+#' @param shock size of the shock.
+#' @param type type of the impulse response. Possible choices are forecast error \code{"feir"}
+#' (default), orthogonalised \code{"oir"}, structural \code{"sir"}, generalised \code{"gir"},
+#' and structural generalised \code{"sgir"} impulse responses.
+#' @param cumulative logical specifying whether a cumulative IRF should be calculated.
+#' @param keep_draws logical specifying whether the function should return all draws of
+#' the posterior impulse response function. Defaults to \code{FALSE} so that
+#' the median and the credible intervals of the posterior draws are returned.
+#' @param period integer. Index of the period, for which the IR should be generated.
+#' Only used for TVP or SV models. Default is \code{NULL}, so that the posterior draws of the last time period
+#' are used.
+#' @param ... further arguments passed to or from other methods.
+#' 
+#' @return A time-series object of class \code{"bvarirf"} and if \code{keep_draws = TRUE} a simple matrix.
+#' 
+#' @references
+#' 
+#' Lütkepohl, H. (2006). \emph{New introduction to multiple time series analysis} (2nd ed.). Berlin: Springer.
+#' 
+#' Pesaran, H. H., Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. \emph{Economics Letters, 58}, 17-29.
+#' 
+#' @export
+irf.bgvarest <- function(x, impulse, response, n.ahead = 5, ci = .95, shock = 1,
+                           type = "feir", cumulative = FALSE, keep_draws = FALSE, period = NULL, ...) {
+
+  result <- list()
+  for (i in 1:length(x)) {
+    result[[i]] <- irf(x[[i]], impulse = impulse, response = response, n.ahead = n.ahead, ci = ci, shock = shock,
+                       type = type, cumulative, keep_draws, period, ...)
+  }
+
+  class(result) <- c("bgvarestirf", "list")
+  return(result)
+}

R/irf.ctryvarest.R

@@ -32,7 +32,7 @@
 #' Pesaran, H. H., Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. \emph{Economics Letters, 58}, 17-29.
 #' 
 #' @export
-irf.ctryvarest <- function(x, impulse = NULL, response = NULL, n.ahead = 5, ci = .95, shock = 1,
+irf.ctryvarest <- function(x, impulse, response, n.ahead = 5, ci = .95, shock = 1,
                            type = "feir", cumulative = FALSE, keep_draws = FALSE, period = NULL, ...) {
 
   if (!type %in% c("feir", "oir", "gir", "sir", "sgir")) {

R/plot.bgvarestirf.R

@@ -0,0 +1,15 @@
+#' Plotting Draws of a Bayesian Global VAR Models
+#' 
+#' A plot function for objects of class \code{"bgvarest"}.
+#' 
+#' @param x an object of class \code{"bgvarestirf"}, usually, a result of a call to \code{\link{irf.bgvarest}}.
+#' @param ... further graphical parameters.
+#' 
+#' @export 
+plot.bgvarestirf <- function(x, ...) {
+  for (i in 1:length(x)) {
+    plot(x[[i]], ...)
+  }
+}
+
+

R/zzz.R

@@ -3,6 +3,7 @@
 #' @importFrom coda thin
 #' @importFrom bvartools add_priors
 #' @importFrom bvartools draw_posterior
+#' @importFrom bvartools irf
 
 # Unload the DLL when the package is unloaded
 .onUnload <- function (libpath) {