added basic impulse response estimation for SISO systems

1 files changed, 18 insertions, 7 deletions

diff --git a/R/impulse.R b/R/impulse.R
index e5de722..feda8bc 100644
--- a/R/impulse.R
+++ b/R/impulse.R
@@ -6,14 +6,25 @@
 #' @param data an object of class \code{idframe}
 #' @param lags The number of lags upto which the estimate is to be
 #' calculated. (Default:\code{30})
-#' @param conf The confidence interval 
+#' @param delay The transport delay 
 #' 
-#' @seealso \code{\link{impulse}}, \code{\link{step}}
+#' @seealso \code{\link{plot.impulseest}}, \code{\link{step}}
 #' @export
 impulseest <- function(data,lags=30){
- 
-  z_reg <- function(i) data$input[i:(i-lags)]
-  Z <- t(sapply())
+  
+  N <- dim(data$output)[1]
+  ind <- (lags+1):N
+  
+  z_reg <- function(i) data$input[i:(i-lags),]
+  Z <- t(sapply(ind,z_reg))
+  Y <- data$output[ind,]
+  
+  fit <- lm(Y~Z-1)
+  
+  out <- list(coefficients=coef(fit),residuals=resid(fit),
+              lags=0:lags)
+  class(out) <- "impulseest"
+  return(out)
 }
 
 #' Impulse Response Plots
@@ -24,8 +35,8 @@ impulseest <- function(data,lags=30){
 #' 
 #' @seealso \code{\link{impulseest}},\code{\link{step}}
 #' @export
-impulse <- function(model){
-  
+plot.impulseest <- function(model){
+  plot(model$lags,coef(model),type="h");abline(h=0)
 }