specify_identification_bsvarSIGN {bsvarSIGNs} | R Documentation |
The class IdentificationBSVARSIGN presents the identifying restrictions for the Bayesian Structural VAR models with sign and narrative restrictions.
VB
a list of N
matrices determining the unrestricted elements of matrix B
.
sign_irf
a NxNxH
array of sign restrictions on the impulse response functions.
sign_narrative
a ANYx6
matrix of narrative sign restrictions.
sign_structural
a NxN
matrix of sign restrictions on contemporaneous relations.
max_tries
a positive integer with the maximum number of iterations
for finding a rotation matrix Q
that would satisfy sign restrictions.
new()
Create new identifying restrictions IdentificationBSVARSIGN.
specify_identification_bsvarSIGN$new( N, sign_irf, sign_narrative, sign_structural, max_tries = Inf )
N
a positive integer - the number of dependent variables in the model.
sign_irf
a NxNxH
array - sign and zero restrictions
on the impulse response functions, ±1 for positive/negative sign restriction
0 for zero restrictions and NA for no restrictions,
the h
-th slice NxN
matrix contains the
restrictions on the h-1
horizon.
sign_narrative
a list of objects of class "narrative" - narrative sign restrictions.
sign_structural
a NxN
matrix with entries ±1 or NA - sign restrictions on the
contemporaneous relations B
between reduced-form errors E
and
structural shocks U
where BE=U
.
max_tries
a positive integer with the maximum number of iterations
for finding a rotation matrix Q
that would satisfy sign restrictions.
Identifying restrictions IdentificationBSVARSIGN.
get_identification()
Returns the elements of the identification pattern IdentificationBSVARSIGN as a list
.
specify_identification_bsvarSIGN$get_identification()
set_identification()
Set new starting values StartingValuesBSVARSIGN.
specify_identification_bsvarSIGN$set_identification( N, sign_irf, sign_narrative, sign_structural )
N
a positive integer - the number of dependent variables in the model.
sign_irf
a NxNxH
array - sign and zero restrictions
on the impulse response functions, ±1 for positive/negative sign restriction
0 for zero restrictions and NA for no restrictions,
the h
-th slice NxN
matrix contains the
restrictions on the h-1
horizon.
sign_narrative
a list of objects of class "narrative" - narrative sign restrictions.
sign_structural
a NxN
matrix with entries ±1 or NA - sign restrictions on the
contemporaneous relations B
between reduced-form errors E
and
structural shocks U
where BE=U
.
max_tries
a positive integer with the maximum number of iterations
for finding a rotation matrix Q
that would satisfy sign restrictions
clone()
The objects of this class are cloneable with this method.
specify_identification_bsvarSIGN$clone(deep = FALSE)
deep
Whether to make a deep clone.
# recursive specification for a 5-variable system
specify_identification_bsvarSIGN$new(N = 5)
# specify sign restrictions of the first shock on the contemporaneous IRF
# + no effect on the first variable
# + positive effect on the second variable
sign_irf = matrix(c(0, 1, rep(NA, 23)), 5, 5)
specify_identification_bsvarSIGN$new(N = 5, sign_irf = sign_irf)