initializeRestr {RGAP}

Initialization of parameter restrictions

Description

Initializes parameter restrictions for objects of class NAWRUmodel, TFPmodel, or KuttnerModel.

Usage

initializeRestr(model, type = "basic", lambda = NULL, q = 0.01)

Arguments

model

An object of class NAWRUmodel, TFPmodel, or KuttnerModel.

type

The variance restriction type. Possible options are "basic", "hp", see details. The default is type = "basic".

lambda

The smoothing constant for the HP-filter if type = "hp".

q

Quantile for the Inverse Gamma distribution (only used if type = "hp"). The default is q = 0.01.

Details

For type = "hp", the HP filter is applied to the appropriately differences first observation series to obtain its trend and cycle. Subsequently, the specified trend and cycle models are fitted to obtain its innovation variance. Moreover, the second observation series (according to its specification) is fitted to obtain its innovation variance. Lastly, the obtained innovations variances are used to get lower and upper bounds. To that end, the q and 1-q quantiles of the inverse gamma distribution are used, with mean and standard deviation set to the estimated variances.

Value

A list of three matrices containing the parameter restrictions for the cycle, trend, and the second observation equation. Each matrix contains the lower and upper bound of the involved parameters. NA implies that no restriction is present.