specify_narrative {bsvarSIGNs} | R Documentation |
The class narrative specifies a single narrative restriction.
specify_narrative(
start,
periods = 1,
type = "S",
sign = 1,
shock = 1,
var = NA
)
start |
positive integer - the period in which the narrative starts (greater than the number of lags). |
periods |
positive integer - the number of periods the narrative restriction lasts. |
type |
character - the type of the narrative restriction (one of "S", "A", "B"), where: "S" for restrictions on structural shocks; "A" for type A restrictions on historical decomposition, i.e. if the absolute value of the historical decomposition of shock to var is the greatest/least among all shocks; "B" for type B restrictions on historical decomposition, i.e. if the absolute value of the historical decomposition of shock to var is the greater/less than the sum of all other shocks. |
sign |
integer - the sign of the narrative restriction (1 or -1). |
shock |
positive integer - the index of the shock to which the narrative restriction applies. |
var |
positive integer - the index of the variable to which the narrative restriction applies. |
An object of class narrative
specifying one narrative restriction.
# specify a narrative restriction
narrative = specify_narrative(
start = 166,
periods = 1,
type = "S",
sign = 1,
shock = 1,
var = 6
)
# use it to specify the model
specification = specify_bsvarSIGN$new(monetary, sign_narrative = list(narrative))