Bootstrap Cholesky Impulse Response Functions

Bootstrap Cholesky Impulse Response Functions

Usage

fbootstrapChol(
  y,
  var_result,
  nboot,
  horizon,
  prc,
  bootscheme,
  exog = NULL,
  n_threads = 0L
)

Arguments

y

T x N matrix of original endogenous variables.

var_result

List from fVAR.

nboot

Number of bootstrap replications.

horizon

Maximum IRF horizon.

prc

Confidence level in percent (e.g. 68).

bootscheme

"residual" or "wild".

exog

Optional T x M exogenous matrix. Default NULL.

n_threads

OpenMP threads. 0 = all cores minus one.

Value

List: bootchol, upper, lower, boot_beta.