specify_bsvar_sv {bsvars}R Documentation

R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.

Description

The class BSVARSV presents complete specification for the BSVAR model with Stochastic Volatility heteroskedasticity.

Public fields

p

a non-negative integer specifying the autoregressive lag order of the model.

identification

an object IdentificationBSVARs with the identifying restrictions.

prior

an object PriorBSVARSV with the prior specification.

data_matrices

an object DataMatricesBSVAR with the data matrices.

starting_values

an object StartingValuesBSVARSV with the starting values.

centred_sv

a logical value - if true a centred parameterisation of the Stochastic Volatility process is estimated. Otherwise, its non-centred parameterisation is estimated. See Lütkepohl, Shang, Uzeda, Woźniak (2022) for more info.

Methods

Public methods

Method new()

Create a new specification of the BSVAR model with Stochastic Volatility heteroskedasticity, BSVARSV.

Usage
specify_bsvar_sv$new(
  data,
  p = 1L,
  B,
  exogenous = NULL,
  centred_sv = FALSE,
  stationary = rep(FALSE, ncol(data))
)
Arguments
data

a (T+p)xN matrix with time series data.

p

a positive integer providing model's autoregressive lag order.

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.

exogenous

a (T+p)xd matrix of exogenous variables.

centred_sv

a logical value. If FALSE a non-centred Stochastic Volatility processes for conditional variances are estimated. Otherwise, a centred process is estimated.

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.

Returns

A new complete specification for the bsvar model with Stochastic Volatility heteroskedasticity, BSVARSV.

Method get_data_matrices()

Returns the data matrices as the DataMatricesBSVAR object.

Usage
specify_bsvar_sv$get_data_matrices()
Examples
data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_data_matrices()

Method get_identification()

Returns the identifying restrictions as the IdentificationBSVARs object.

Usage
specify_bsvar_sv$get_identification()
Examples
data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_identification()

Method get_prior()

Returns the prior specification as the PriorBSVARSV object.

Usage
specify_bsvar_sv$get_prior()
Examples
data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_prior()

Method get_starting_values()

Returns the starting values as the StartingValuesBSVARSV object.

Usage
specify_bsvar_sv$get_starting_values()
Examples
data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_starting_values()

Method clone()

The objects of this class are cloneable with this method.

Usage
specify_bsvar_sv$clone(deep = FALSE)
Arguments
deep

Whether to make a deep clone.

See Also

estimate, specify_posterior_bsvar_sv

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)


## ------------------------------------------------
## Method `specify_bsvar_sv$get_data_matrices`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_data_matrices()


## ------------------------------------------------
## Method `specify_bsvar_sv$get_identification`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_identification()


## ------------------------------------------------
## Method `specify_bsvar_sv$get_prior`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_prior()


## ------------------------------------------------
## Method `specify_bsvar_sv$get_starting_values`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_starting_values()
[Package bsvars version 3.1 Index]