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AdaemmerP / lpirfs

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lp_lin.R #5

Closed GushchiaNasty closed 5 years ago

GushchiaNasty commented 5 years ago

Hi Phillip. Maybe I wrong, but I think that the next code isn't correct:

First value of horizon is merely the shock

  irf_lin_mean[, 1, i]   <- t(d[, i])
  irf_lin_low[,  1, i]   <- irf_lin_mean[, 1, i]
  irf_lin_up[,   1, i]   <- irf_lin_mean[, 1, i]

Why are you set up for the up and low confidence interval value equal mean? You calculate the 1'st dot of IRF, but the error shouldn't be equal it, isn't it?

AdaemmerP commented 5 years ago

Thanks for the comment. The first horizon actually equals h = 0, thus the shock. There are no confidence bands at this stage which is why I set the values of the bands equal to irf_lin_mean. You can see that when you plot the impulse responses.