FCVARoptions {FCVAR} | R Documentation |
Set Estimation Options
Description
FCVARoptions
defines the estimation options used in the FCVAR
estimation procedure and the related programs.
Usage
FCVARoptions(...)
Arguments
... |
A list of arguments to set to values other than the default settings. See the argument names in the return value below. |
Value
An S3 object of class FCVAR_opt
that stores the default estimation options,
which includes the following parameters:
unc_optim_control
A list of options in the form of the argument
control
in theoptim
function for unconstrained optimization of the likelihood function over the fractional integration parameters. This is also used in the switching algorithm employed when linear constraints are imposed on the cointegrating relationsbeta
or the adjustment coefficientsalpha
, so it must at least contain the argumentsmaxit
andreltol
, since it uses those parameters.con_optim_control
A list of options in the form of the argument
control
in either theoptim
or theconstrOptim
function for constrained optimization of the likelihood function over the fractional integration parameters, using the 'L-BFGS-B' algorithm. It must at least contain the argumentsmaxit
andpgtol
.LineSearch
Indicator for conducting a line search optimization within the switching algorithm when optimizing over constraints on the cointegrating relations
\beta
or the adjustment coefficients\alpha
. See Doornik (2018, Section 2.2) for details.LocalMax
Indicator to select the local maximum with the highest value of
b
when there are multiple local optima. This is meant to alleviate the identification problem discussed in Johansen and Nielsen (2010, Section 2.3) and Carlini and de Magistris (2019). WhenLocalMax <- 0
, the optimization returns the values ofd
andb
corresponding to the global optimum.dbMax
Upper bound for the fractional integration parameters
d
,b
.dbMin
Lower bound for the fractional integration parameters
d
,b
.db0
The starting values for optimization of the fractional integration parameters
d
,b
.constrained
Indicator to impose restriction
dbMax >= d >= b >= dbMin
.restrictDB
Indicator to impose restriction
d = b
.N
The number of initial values: the observations to condition upon.
unrConstant
Indicator to include an unrestricted constant.
rConstant
Indicator to include a restricted constant.
levelParam
Indicator to include level parameter.
C_db
CHECK whether still used.
c_db
CHECK whether still used.
UB_db
An upper bound on the fractional integration parameters
d
andb
, after transforming the parameters to account for any restrictions imposed.LB_db
A lower bound on the fractional integration parameters
d
andb
, after transforming the parameters to account for any restrictions imposed.R_psi
A matrix for defining restrictions on the fractional integration parameters
d
andb
, of the formR_{\psi}(d, b)' = r_{\psi}
.r_psi
A vector for defining restrictions on the fractional integration parameters
d
andb
, of the formR_{\psi}(d, b)' = r_{\psi}
.R_Alpha
A matrix for defining restrictions on the adjustment coefficients of the form
R_{\alpha}\alpha = r_{\alpha}
.r_Alpha
A vector for defining restrictions on the adjustment coefficients of the form
R_{\alpha}\alpha = r_{\alpha}
.R_Beta
A matrix for defining restrictions on the cointegrating relations of the form
R_{\beta}\beta = r_{\beta}
.r_Beta
A vector for defining restrictions on the cointegrating relations of the form
R_{\beta}\beta = r_{\beta}
.print2screen
Indicator to print output to screen.
printGammas
Indicator to print estimates and standard errors on autoregressive coefficients
\Gamma_i, i = i, ..., k
.printRoots
Indicator to print roots of characteristic polynomial.
plotRoots
Indicator to plot roots of characteristic polynomial.
CalcSE
Indicator to calculate the standard errors. It is used when displaying results.
hess_delta
Size of increment for numerical calculation of derivatives of the likelihood function for numerical calculation of the Hessian matrix. The default is
10^(-4)
, which works well in practice to balance errors between precision and truncation.gridSearch
Indicator to perform a grid search for the optimization over the fractional integration parameters, for more accurate estimation. This will make estimation take longer.
dbStep1D
The step size for the grid search over the fractional integration parameters for the 1-dimensional grid search (such as when restrictions are imposed between
d
andb
.).dbStep2D
The step size for the grid search over the fractional integration parameters for the 2-dimensional grid search.
plotLike
Indicator to plot the likelihood (only if
gridSearch <- 1
).progress
Show a waitbar for a progress indicator for the grid search.
updateTime
How often progress is updated in the waitbar for the grid search (in seconds).
References
Doornik, J. A. (2018) "Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications." Scandinavian Journal of Statistics, Volume 45, Issue 2.
Johansen, Søren, and Morten Ørregaard Nielsen (2010) "Likelihood inference for a nonstationary fractional autoregressive model." Journal of Econometrics 158, 51–66.
Carlini, F., and P. S. de Magistris (2019) "On the identification of fractionally cointegrated VAR models with the F(d) condition." Journal of Business & Economic Statistics 37(1), 134–146.
See Also
FCVARoptionUpdates
to set and test estimation options for validity and compatibility.
FCVARestn
for use of these options in estimation.
Other FCVAR estimation functions:
FCVARestn()
,
summary.FCVAR_model()
Examples
opt <- FCVARoptions()
opt <- FCVARoptions(
gridSearch = 0, # Disable grid search in optimization.
dbMin = c(0.01, 0.01), # Set lower bound for d,b.
dbMax = c(2.00, 2.00), # Set upper bound for d,b.
constrained = 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
)