[R-SIG-Finance] plotting with package vars

[Dr. Bernhard Pfaff]

Dear Ivan,

many thanks for your report. (1) has been fixed and a corrected version 
of vars is now on R-Forge (see AICTS II). It will be populated to CRAN 
in due course. With respect to (2), aside of the Matthieu's code it 
should be noted that ylim has been set to the same values on purpose, 
i.e., to enable a better comparison between the irf.

Best,
Bernhard

Matthieu Stigler schrieb:
> Dear Ivan
> Concerning your second question, the same scale of the y axis, I just 
> had the same problem and   modified the function, ading an argument 
> same.scale=TRUE or FALSE. You can use it if you want, just use it with 
> source() and set same.scale default value as you want. It may still 
> have some probs, did not check extensively... let me know.
>
> Mat
>
>
>
> Ivan Sutoris a écrit :
>> Hello
>>
>> I've been trying to estimate structural VAR model with package "vars"
>> and I've encountered some issues with plotting functions from this
>> package (I hope I'm posting to the right list). I'm using R 2.8.0 in
>> Windows:
>>
>> 1. After estimating VAR model with "VAR" function, I tried to plot the
>> result using plot method for varest object. I wanted to save plots in
>> separate files, so I used "names" property to create individual plots
>> for individual variables. However, the result showed always data for
>> the first variable, regardless of what I specified in names. Small
>> example:
>>
>> library(vars)
>> data(Canada)
>> mymodel <- VAR(Canada)
>> plot(mymodel, names="e")
>> windows()   # open new figure
>> plot(mymodel, names="prod")
>>
>> I get two figures, which are exactly the same, both plotting the fit
>> for "e", the first variable - this seems like a bug.
>>
>> 2. When plotting imuplse-response functions, (plot method for varirf
>> object), y-range for all variables is set the same. This can be
>> problematic when variables have different scales, but I haven't found
>> a way to specify the range manually. Is it possible?
>>
>> Thanks in advance for your time
>>
>> Ivan Sutoris
>> student (applied mathematics)
>> Comenius University, Bratislava, Slovakia
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>   
> "plot.varirf" <- function (x, plot.type = c("multiple", "single"), 
> names = NULL,    main = NULL, sub = NULL, lty = NULL, lwd = NULL, col 
> = NULL, ylim = NULL,    ylab = NULL, xlab = NULL, nc, mar.multi = c(0, 
> 4, 0, 4),
>    oma.multi = c(6, 4, 6, 4), adj.mtext = NA, padj.mtext = NA, 
> col.mtext = NA, same.scale=FALSE,...)  {
>    op <- par(no.readonly = TRUE)
>    on.exit(par(op))
>    ##
>    ## Checking of arguments
>    ##
>    plot.type <- match.arg(plot.type)
>    inames <- x$impulse
>    rnames <- x$response
>    if (is.null(names)) {
>        names <- inames
>    }
>    else {
>        names <- as.character(names)
>        if (!(all(names %in% inames))) {
>            warning("\nInvalid variable name(s) supplied, using first 
> variable.\n")
>            inames <- inames[1]
>        }
>        else {
>            inames <- names
>        }
>    }
>    nvi <- length(inames)
>    nvr <- length(rnames)
>    ##
>    ## Presetting certain plot-argument
>    ifelse(is.null(lwd), lwd <- c(1, 1, 1, 1), lwd <- rep(lwd, 4)[1:4])
>    ifelse(is.null(col), col <- c("black", "gray", "red", "red"), col 
> <- rep(col, 4)[1:4])
>    ##
>    ## Extract data from object for plotting per iname
>    ##
>    dataplot <- function(x, iname){
>      impulses <- x$irf[[iname]]
>      range <- t(apply(impulses, 2, range))
>      upper <- NULL
>      lower <- NULL
>      if(x$boot){
>        upper <- x$Upper[[iname]]
>        lower <- x$Lower[[iname]]
>        range <- cbind( apply(lower, 2,min),apply(upper, 2, max))
>      }
>      ifelse(same.scale, range<-matrix(range(range), ncol=2, 
> nrow=ncol(impulses), byrow=TRUE), range<-range)
>      if ((x$model == "varest") || (x$model == "vec2var")) {
>        if (x$ortho) {
>          text1 <- paste("Orthogonal Impulse Response from", iname, sep 
> = " ")
>        } else {
>         text1 <- paste("Impulse Response from", iname, sep = " ")
>        }
>      } else if (x$model == "svarest") {
>        text1 <- paste("SVAR Impulse Response from", iname, sep = " ")
>      } else if (x$model == "svecest") {
>        text1 <- paste("SVECM Impulse Response from", iname, sep = " ")
>      }
>      if (x$cumulative)  text1 <- paste(text1, "(cumulative)", sep = " ")
>      text2 <- ""
>      if (x$boot) text2 <- paste((1 - x$ci) * 100, "% Bootstrap CI, ", 
> x$runs, "runs")
>      result <- list(impulses = impulses, upper = upper, lower = lower, 
> range = range, text1 = text1, text2 = text2)
>      return(result)
>    }
>    ##
>    ## Plot function for irf per impulse and response
>    ##
>    plot.single <- function(x, iname, rname, ylim,...) {
>      ifelse(is.null(main), main <- x$text1, main <- main)
>      ifelse(is.null(sub), sub <- x$text2, sub <- sub)
>      xy <- xy.coords(x$impulse[, rname])
>      ifelse(is.null(ylab), ylabel <- rname, ylabel <- ylab)
>      ifelse(is.null(xlab), xlabel <- "", xlabel <- xlab)
>      plot(xy, type = "l", ylim = ylim, col = col[1], lty = lty[1], lwd 
> = lwd[1], axes = FALSE, ylab = paste(ylabel), xlab = paste(xlab), ...)
>      title(main = main, sub = sub, ...)
>      axis(1, at = xy$x, labels = c(0:(length(xy$x) - 1)))
>      axis(2, ...)
>      box()         if (!is.null(x$upper)) lines(x$upper[, rname], col 
> = col[3], lty = lty[3], lwd = lwd[3])
>      if (!is.null(x$lower)) lines(x$lower[, rname], col = col[3], lty 
> = lty[3], lwd = lwd[3])
>      abline(h = 0, col = col[2], lty = lty[2], lwd = lwd[2])
>    }
>    ##
>    ## Plot function per impulse
>    ##
>    plot.multiple <- function(dp, nc = nc, ...){
>      x <- dp$impulses
>      y <- dp$upper
>      z <- dp$lower
>      ifelse(is.null(main), main <- dp$text1, main <- main)
>      ifelse(is.null(sub), sub <- dp$text2, sub <- sub)
>      ifelse(is.null(ylim), ylim <- dp$range, ylim <- matrix(ylim, 
> ncol=2, nrow=ncol(x), byrow=TRUE))
>      range <- range(c(x, y, z))
>      nvr <- ncol(x)
>      if (missing(nc)) {
>        nc <- ifelse(nvr > 4, 2, 1)
>      }
>      nr <- ceiling(nvr/nc)
>      par(mfrow = c(nr, nc), mar = mar.multi, oma = oma.multi)
>      if(nr > 1){
>        for(i in 1:(nvr - nc)){
>          ifelse(is.null(ylab), ylabel <- colnames(x)[i], ylabel <- ylab)
>          xy <- xy.coords(x[, i])
>          plot(xy, axes = FALSE, type = "l", ylab = ylabel, ylim = 
> ylim[i,], col = col[1], lty = lty[1], lwd = lwd[1], ...)
>          axis(2, at = pretty(ylim[i,])[-1])
>          abline(h = 0, col = "red")
>          if(!is.null(y)) lines(y[, i], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>          if(!is.null(z)) lines(z[, i], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>          box()
>        }              for(j in (nvr - nc + 1):nvr){
>          ifelse(is.null(ylab), ylabel <- colnames(x)[j], ylabel <- ylab)
>          xy <- xy.coords(x[, j])
>          plot(xy, axes = FALSE, type = "l", ylab = ylabel, ylim = 
> ylim[j,], col = col[1], lty = lty[1], lwd = lwd[1], ...)
>          axis(2, at = pretty(ylim[j,])[-1])
>          axis(1, at = 1:(nrow(x)), labels = c(0:(nrow(x) - 1)))
>          box()
>          abline(h = 0, col = "red")
>          if(!is.null(y)) lines(y[, j], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>          if(!is.null(z)) lines(z[, j], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>        }
>        mtext(main, 3, line = 2, outer = TRUE, adj = adj.mtext, padj = 
> padj.mtext, col = col.mtext, ...)
>        mtext(sub, 1, line = 4, outer = TRUE, adj = adj.mtext, padj = 
> padj.mtext, col = col.mtext, ...)             } else {
>        for(j in 1:nvr){
>          ifelse(is.null(ylab), ylabel <- colnames(x)[j], ylabel <- ylab)
>          xy <- xy.coords(x[, j])
>          plot(xy, type = "l", ylab = ylabel, ylim = ylim[j,], col = 
> col[1], lty = lty[1], lwd = lwd[1], ...)
>          if(!is.null(y)) lines(y[, j], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>          if(!is.null(z)) lines(z[, j], col = col[3], lty = lty[3], lwd 
> = lwd[3])
>          abline(h = 0, col = "red")
>        }
>        mtext(main, 3, line = 2, outer = TRUE, adj = adj.mtext, padj = 
> padj.mtext, col = col.mtext, ...)
>        mtext(sub, 1, line = 4, outer = TRUE, adj = adj.mtext, padj = 
> padj.mtext, col = col.mtext, ...)
>      }
>    }
>    ##
>    ## Plot for type = single
>    ##
>    if (plot.type == "single") {
>      for(i in 1:nvi){
>        dp <- dataplot(x, iname = inames[i])    ifelse(is.null(ylim), 
> ylimVal <- dp$range, ylimVal <- matrix(ylim, ncol=2, nrow=ncol(x), 
> byrow=TRUE))
>        for(j in 1:nvr){
>          plot.single(dp, iname = inames[i], rname = rnames[j], 
> ylim=ylimVal[j,],...)
>          if (nvr > 1) par(ask = TRUE)
>        }
>      }
>    }
>    ##
>    ## Plot for type = multiple
>    ##
>    if (plot.type == "multiple") {
>      for (i in 1:nvi) {
>        dp <- dataplot(x, iname = inames[i])
>        plot.multiple(dp, nc = nc, ...)
>        if (nvi > 1) par(ask = TRUE)
>      }
>    }   }
>
> library(vars)
> environment(plot.varirf)<-environment(Phi)
>
>
>
> if(FALSE){
> library(vars)
> data(Canada)
>
> c<-VAR(Canada)
>
> i<-irf(c)
>
> environment(plot.varirf)<-environment(Phi)
> plot(i, same.scale=FALSE, plot.type="multiple")
> plot(i, same.scale=FALSE, plot.type="single")
> environment(plot.varirf2)<-environment(Phi)
> plot.varirf2(i, plot.type="single")
> dataplot(i, "rw")
>
> matrix(1:2, ncol=2, nrow=4, byrow=TRUE)
>
> nr <- ceiling(nvr/nc)
> }