[Gretl-devel] irf() and fevd()

Here's an update in relation to the thread (re-)started by Sven at http://lists.wfu.edu/pipermail/gretl-devel/2018-May/008776.html . We now have irf() and fevd() functions which go part-way to meeting Sven's suggestions. We could go all the way if we reckon it's worthwhile (see below). Anyway, at present: irf() function: arg1 target [required] arg2 shock [required] arg3 alpha [optional] arg4 bundle [optional, obtain via $system] Returns: matrix containing response of targ to shock, optionally with bootstrap confidence interval. fevd() function: arg1 target [required] arg2 bundle [optional, obtain via $system] Returns: matrix containing full decomposition of forecast variance of targ. The final, optional, bundle argument should be obtained via the $system accessor (which still has to be documented) after estimation of a VAR or VECM. If this argument is omitted gretl looks to the last estimated model to get the equivalent information; if there's no such model or it's not a VAR/VECM an error is flagged. The divergence from Sven's specific suggestions reflects some (debatable) simplification on my part. It seems to me that when a FEVD is wanted, most of the time you'd want it for a single "target" variable and all sources of variation. So right now you must choose a target and do not get to choose a single source. You can of course pull a specific column of interest out of the returned matrix if you want less information, or call the function in a loop if you want more. In the (more expensive) IRF case, however, it seems to me that the response of a single target to a single shock (with or without a confidence interval) would be the most "natural" unit. So you have to specify both target and shock. Possible modifications: We could add a "source" argument to fevd() to narrow the output, and for the target/shock arguments to both functions we could let 0 signify "do everything". Allin