structural_pars |
If NULL a reduced form model is considered. Reduced models can be used directly as recursively
identified structural models. For a structural model identified by conditional heteroskedasticity, should be a list containing
at least the first one of the following elements:
-
W - a (dxd) matrix with its entries imposing constraints on W : NA indicating that the element is
unconstrained, a positive value indicating strict positive sign constraint, a negative value indicating strict
negative sign constraint, and zero indicating that the element is constrained to zero.
-
C_lambda - a (d(M-1) x r) constraint matrix that satisfies (\lambda _{2} ,...,
\lambda _{M}) = C_{\lambda} \gamma where \gamma is the new (r x 1)
parameter subject to which the model is estimated (similarly to AR parameter constraints). The entries of C_lambda
must be either positive or zero. Ignore (or set to NULL ) if the eigenvalues \lambda_{mi}
should not be constrained.
-
fixed_lambdas - a length d(M-1) numeric vector (\lambda _{2} ,...,
\lambda _{M}) with elements strictly larger than zero specifying the fixed parameter values for the
parameters \lambda_{mi} should be constrained to. This constraint is alternative C_lambda .
Ignore (or set to NULL ) if the eigenvalues \lambda_{mi} should not be constrained.
See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is W times
a time-varying diagonal matrix with positive diagonal entries).
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