R: R6 Class representing the specification of the BSVAR model...

specify_bsvar_mix {bsvars}

R Documentation

R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks.

The class BSVAR-MIX presents complete specification for the BSVAR model with a zero-mean mixture of normals model for structural shocks.

bsvars::BSVAR-MSH -> BSVAR-MIX

p: a non-negative integer specifying the autoregressive lag order of the model.
identification: an object IdentificationBSVARs with the identifying restrictions.
prior: an object PriorBSVAR-MIX with the prior specification.
data_matrices: an object DataMatricesBSVAR with the data matrices.
starting_values: an object StartingValuesBSVAR-MIX with the starting values.
finiteM: a logical value - if true a finite mixture model is estimated. Otherwise, a sparse mixture model is estimated in which M=20 and the number of visited states is estimated.

Inherited methods

Create a new specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks, BSVAR-MIX.

specify_bsvar_mix$new(
  data,
  p = 1L,
  M,
  B,
  stationary = rep(FALSE, ncol(data)),
  finiteM = TRUE
)

data: a (T+p)xN matrix with time series data.
p: a positive integer providing model's autoregressive lag order.
M: an integer greater than 1 - the number of components of the mixture of normals.
B: a logical NxN matrix containing value TRUE for the elements of the structural matrix B to be estimated and value FALSE for exclusion restrictions to be set to zero.
stationary: an N logical vector - its element set to FALSE sets the prior mean for the autoregressive parameters of the Nth equation to the white noise process, otherwise to random walk.
finiteM: a logical value - if true a finite mixture model is estimated. Otherwise, a sparse mixture model is estimated in which M=20 and the number of visited states is estimated.

A new complete specification for the bsvar model with a zero-mean mixture of normals model for structural shocks, BSVAR-MIX.

The objects of this class are cloneable with this method.

specify_bsvar_mix$clone(deep = FALSE)

data(us_fiscal_lsuw)
spec = specify_bsvar_mix$new(
   data = us_fiscal_lsuw,
   p = 4,
   M = 2
)

[Package bsvars version 1.0.0 Index]