specify_identification_bsvarSIGN {bsvarSIGNs}R Documentation

R6 Class Representing IdentificationBSVARSIGN

Description

The class IdentificationBSVARSIGN presents the identifying restrictions for the Bayesian Structural VAR models with sign and narrative restrictions.

Public fields

VB

a list of N matrices determining the unrestricted elements of matrix B.

sign_irf

a NxNxH array of sign restrictions on the impulse response functions.

sign_narrative

a ANYx6 matrix of narrative sign restrictions.

sign_structural

a NxN matrix of sign restrictions on contemporaneous relations.

max_tries

a positive integer with the maximum number of iterations for finding a rotation matrix Q that would satisfy sign restrictions.

Methods

Public methods

Method new()

Create new identifying restrictions IdentificationBSVARSIGN.

Usage
specify_identification_bsvarSIGN$new(
  N,
  sign_irf,
  sign_narrative,
  sign_structural,
  max_tries = Inf
)
Arguments
N

a positive integer - the number of dependent variables in the model.

sign_irf

a NxNxH array - sign and zero restrictions on the impulse response functions, ±1 for positive/negative sign restriction 0 for zero restrictions and NA for no restrictions, the h-th slice NxN matrix contains the restrictions on the h-1 horizon.

sign_narrative

a list of objects of class "narrative" - narrative sign restrictions.

sign_structural

a NxN matrix with entries ±1 or NA - sign restrictions on the contemporaneous relations B between reduced-form errors E and structural shocks U where BE=U.

max_tries

a positive integer with the maximum number of iterations for finding a rotation matrix Q that would satisfy sign restrictions.

Returns

Identifying restrictions IdentificationBSVARSIGN.

Method get_identification()

Returns the elements of the identification pattern IdentificationBSVARSIGN as a list.

Usage
specify_identification_bsvarSIGN$get_identification()

Method set_identification()

Set new starting values StartingValuesBSVARSIGN.

Usage
specify_identification_bsvarSIGN$set_identification(
  N,
  sign_irf,
  sign_narrative,
  sign_structural
)
Arguments
N

a positive integer - the number of dependent variables in the model.

sign_irf

a NxNxH array - sign and zero restrictions on the impulse response functions, ±1 for positive/negative sign restriction 0 for zero restrictions and NA for no restrictions, the h-th slice NxN matrix contains the restrictions on the h-1 horizon.

sign_narrative

a list of objects of class "narrative" - narrative sign restrictions.

sign_structural

a NxN matrix with entries ±1 or NA - sign restrictions on the contemporaneous relations B between reduced-form errors E and structural shocks U where BE=U.

max_tries

a positive integer with the maximum number of iterations for finding a rotation matrix Q that would satisfy sign restrictions

Method clone()

The objects of this class are cloneable with this method.

Usage
specify_identification_bsvarSIGN$clone(deep = FALSE)
Arguments
deep

Whether to make a deep clone.

Examples

# recursive specification for a 5-variable system
specify_identification_bsvarSIGN$new(N = 5)

# specify sign restrictions of the first shock on the contemporaneous IRF
# + no effect on the first variable
# + positive effect on the second variable
sign_irf = matrix(c(0, 1, rep(NA, 23)), 5, 5)
specify_identification_bsvarSIGN$new(N = 5, sign_irf = sign_irf)
[Package bsvarSIGNs version 1.0 Index]