Impulse response functions

Usage

irf(x, ...)

# S3 method for class 'qpm_solution'
irf(x, shock = NULL, horizon = 24, size = NULL, vars = NULL, ...)

Arguments

x: A qpm_solution from qpm_solve().
...: Passed to methods.
shock: Shock name(s); default all shocks.
horizon: Number of quarters after impact.
size: Shock size(s). Default is one standard deviation (from the model's sigma); a named vector or a single number can override.
vars: Variables to include; default all declared (non-auxiliary) variables.

Value

A data frame of class qpm_irf in long format with columns shock, variable, horizon, value (deviations from steady state). Printing shows peak effects; plot() draws panel charts.

Examples

sol <- qpm_solve(qpm_template("bkl"))
ir <- irf(sol, shock = "eps_i", horizon = 16)
ir
#> <qpm_irf> impulse responses (deviations from steady state)
#>   shocks: eps_i (size  0.5)
#>   peak effects:
#>  shock  variable    peak quarter
#>  eps_i    dy_obs -0.6655       0
#>  eps_i         r  0.6032       0
#>  eps_i     r_gap  0.6032       0
#>  eps_i         i  0.3389       0
#>  eps_i        pi -0.3185       2
#>  eps_i         q  0.2815       4
#>  eps_i     q_gap  0.2815       4
#>  eps_i       pi4 -0.2785       4
#>  eps_i     y_gap -0.2244       1
#>  eps_i    dy_bar  0.0000       0
#>  eps_i     istar  0.0000       0
#>  eps_i    pistar  0.0000       0
#>  eps_i      prem  0.0000       0
#>  eps_i     q_bar  0.0000       0
#>  eps_i     r_bar  0.0000       0
#>  eps_i     rstar  0.0000       0
#>  eps_i ystar_gap  0.0000       0
plot(ir, vars = c("pi", "y_gap", "i", "q"))