R: R6 Class Representing StartingValuesBSVAR-MIX

specify_starting_values_bsvar_mix {bsvars}

R Documentation

R6 Class Representing StartingValuesBSVAR-MIX

The class StartingValuesBSVAR-MIX presents starting values for the bsvar model with a zero-mean mixture of normals model for structural shocks.

bsvars::StartingValuesBSVAR -> bsvars::StartingValuesBSVAR-MSH -> StartingValuesBSVAR-MIX

A: an NxK matrix of starting values for the parameter A.
B: an NxN matrix of starting values for the parameter B.
hyper: a 5-vector of starting values for the shrinkage hyper-parameters of the hierarchical prior distribution.
sigma2: an NxM matrix of starting values for the MS state-specific variances of the structural shocks. Its elements sum to value M over the rows.
PR_TR: an MxM matrix of starting values for the probability matrix of the Markov process. Its rows must be identical and the elements of each row sum to 1 over the rows.
xi: an MxT matrix of starting values for the Markov process indicator. Its columns are a chosen column of an identity matrix of order M.
pi_0: an M-vector of starting values for mixture components state probabilities. Its elements sum to 1.

Inherited methods

Create new starting values StartingValuesBSVAR-MIX.

specify_starting_values_bsvar_mix$new(N, p, M, T, finiteM = TRUE)

N: a positive integer - the number of dependent variables in the model.
p: a positive integer - the autoregressive lag order of the SVAR model.
M: an integer greater than 1 - the number of components of the mixture of normals.
T: a positive integer - the the time series dimension of the dependent variable matrix Y.
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.

Starting values StartingValuesBSVAR-MIX.

The objects of this class are cloneable with this method.

specify_starting_values_bsvar_mix$clone(deep = FALSE)

# starting values for a bsvar model for a 3-variable system
sv = specify_starting_values_bsvar_mix$new(N = 3, p = 1, M = 2, T = 100)

[Package bsvars version 1.0.0 Index]