KuttnerModel {RGAP}

Kuttner model

Description

Creates a state space object object of class KuttnerModel which can be fitted using fit.

Usage

KuttnerModel(
  tsl,
  cycle = "AR2",
  cycleLag = 1,
  trend = "RW1",
  inflErrorARMA = c(0, 3),
  start = NULL,
  end = NULL,
  anchor = NULL,
  anchor.h = NULL
)

Arguments

tsl

A list of time series objects, see details.

cycle

A character string specifying the cycle model. cycle = "AR1" denotes an AR(1) process, cycle = "AR2" an AR(2) process. The default is cycle = "AR2".

cycleLag

A non-negative integer specifying the maximum cycle lag that is included in the inflation equation. The default is cycleLag = 0, see details.

trend

A character string specifying the trend model. trend = "RW1" denotes a first order random walk, trend = "RW2" a second order random walk (local linear trend) and trend = "DT" a damped trend model. The default is trend = "RW1".

inflErrorARMA

A 2 x 1 vector with non-negative integers specifying the AR and MA degree of the error term in the inflation equation. The default is inflErrorARMA = c(0, 3), see details.

start

(Optional) Start vector for the estimation, e.g. c(1980, 1).

end

(Optional) End vector for the estimation, e.g. c(2020, 1).

anchor

(Optional) Anchor value for the logarithm of trend gdp.

anchor.h

(Optional) Anchor horizon in the frequency of the given time series.

Details

The list of time series tsl needs to have the following components:

gdp

Real gross domestic product.

infl

Inflation.

A cycleLag equal to 0 implies that only the contemporaneous cycle is included in the inflation equation. A cycleLag equal to 0:1 implies that the contemporaneous as well as the lagged cycle are included.

A inflErrorARMA equal to c(0, 0) implies that the error term in the inflation equation is white noise. inflErrorARMA = c(1, 0) implies that the error is an AR(1) process and for inflErrorARMA = c(1, 2) the error follows an ARMA(1, 2) process.

Value

Object of class KuttnerModel, which is a list with the following components:

tsl

A list of used time series.

SSModel

An object of class SSModel specifying the state-space model.

loc

A data frame containing information on each involved parameter, for instance its corresponding system matrix, variable names, and parameter restrictions.

call

Original call to the function.

In addition, the object contains the following attributes:

cycle

Cycle specification.

trend

Trend specification.

inflation equation

A list containing the components cycleLag, errorARMA, exoVariables.

anchor

A list containing the components value, horizon.

period

A list containing the components start, end, frequency.

Examples

# load data for the Netherlands
data("gap")
country <- "Netherlands"
tsList <- as.list(gap[[country]][, c("cpih", "gdp")])
tsList$infl <- diff(tsList$cpih)
model <- KuttnerModel(tsl = tsList, trend = "RW2", start = 1980)