Evaluate (and possibly plot) the General Dynamic Response Function (GDRF) for an autoregressive distributed lag (ADL) model, assuming the underlying model is in levels (d.x = d.y = 0) and the user wants a marginal effect (the untransformed GDRF). (This is just a wrapper for GDRF.adl.plot with simplifying assumptions)

Evaluate (and possibly plot) the General Dynamic Response Function (GDRF) for an autoregressive distributed lag (ADL) model, assuming the underlying model is in levels (d.x = d.y = 0) and the user wants a marginal effect (the untransformed GDRF). (This is just a wrapper for GDRF.adl.plot with simplifying assumptions)

Usage

adl.plot(
  model = NULL,
  x.vrbl = NULL,
  y.vrbl = NULL,
  shock.history = "pulse",
  dM.level = 0.95,
  s.limit = 20,
  se.type = "const",
  return.data = FALSE,
  return.plot = TRUE,
  return.formulae = FALSE,
  ...
)

Arguments

model: the lm model containing the ADL estimates
x.vrbl: a named numeric vector in which the names correspond to an independent variable and its lags and the numbers correspond to the specific lag order of each variable
y.vrbl: a named numeric vector in which the names correspond to lags of the dependent variable and the numbers correspond to the specific lag order of each variable. Can be NULL if the model has no lagged dependent variables
shock.history: the desired shock history. shock.history determines the shock history (h) (which can be expressed as an integer) that will be applied to the independent variable. -1 represents a pulse (Impulse Response Function). 0 represents a step (Step Response Function). These can also be specified via pulse and step. For others, see Vande Kamp, Jordan, and Rajan. The default is pulse
dM.level: a numeric significance level of the GDRF, calculated by the delta method. The default is 0.95
s.limit: an integer for the number of periods to determine the GDRF (beginning at s = 0)
se.type: a string for the type of standard error to extract from the model. The default is const, but any argument to vcovHC from the sandwich package is accepted
return.data: logical to return the raw calculated GDRFs as a list element under estimates. The default is FALSE
return.plot: logical to return the visualized GDRFs as a list element under plot. The default is TRUE
return.formulae: logical to return the formulae for the GDRFs as a list element under formulae (for the GDRFs) and binomials (for the shock history). The default is FALSE
...: other arguments to be passed to the call to plot

Author

Soren Jordan, Garrett N. Vande Kamp, and Reshi Rajan

Examples


# ADL(1,1)
# Use the toy data to run an ADL. No argument is made this is well specified; it is just expository
model.toydata <- lm(y ~ l_1_y + x + l_1_x, data = toy.ts.interaction.data)

# Since this is in levels, we can quickly look at the adl.plot
#  Pulse effect of x
adl.plot(model = model.toydata,
  x.vrbl = c("x" = 0, "l_1_x" = 1),
  y.vrbl = c("l_1_y" = 1),
  shock.history = "pulse",
  s.limit = 20)