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I have 2 variables as time series. I'd like to build semi-parametric VGAM, then analyse GIRF from Koop, Pesaran and Potter (1996) (analogously with IRF of VAR model). Which R function should I use? Are there any R functions to plot generalised Impulse response within GAM approach?

I prone to using GIRF function from tseries package. Is it possible?

Progman
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Sergei Kharin
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  • This question is related to specific topic in statistics, I would suggest the questioner to post the question on related forum (https://stats.stackexchange.com) where he can get more targeted and specialized help. – S-SHAAF Feb 10 '23 at 22:58

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