reorder_W_columns {gmvarkit} | R Documentation |
Reorder columns of the W-matrix and lambda parameters of a structural GMVAR, StMVAR, or G-StMVAR model.
Description
reorder_W_columns
reorder columns of the W-matrix and lambda parameters
of a structural GMVAR, StMVAR, or G-StMVAR model.
Usage
reorder_W_columns(gsmvar, perm)
Arguments
gsmvar |
an object of class |
perm |
an integer vector of length |
Details
The order of the columns of can be changed without changing the implied reduced
form model as long as the order of lambda parameters is also changed accordingly. Note that the
constraints imposed on
(or the B-matrix) will also be modified accordingly.
This function does not support models with constraints imposed on the lambda parameters!
Also all signs in any column of can be swapped (without changing the implied reduced form model)
with the function
swap_W_signs
but this obviously also swaps the sign constraints in the
corresponding columns of .
Value
Returns an object of class 'gsmvar'
defining a structural GMVAR, StMVAR, or G-StMVAR model with the modified
structural parameters and constraints.
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal
See Also
fitGSMVAR
, GSMVAR
, GIRF
, gsmvar_to_sgsmvar
,
stmvar_to_gstmvar
, swap_W_signs
Examples
# Structural GMVAR(2, 2), d=2 model identified with sign-constraints:
params22s <- c(0.36, 0.121, 0.484, 0.072, 0.223, 0.059, -0.151, 0.395,
0.406, -0.005, 0.083, 0.299, 0.218, 0.02, -0.119, 0.722, 0.093, 0.032,
0.044, 0.191, 0.057, 0.172, -0.46, 0.016, 3.518, 5.154, 0.58)
W_22 <- matrix(c(1, 1, -1, 1), nrow=2, byrow=FALSE)
mod22s <- GSMVAR(p=2, M=2, d=2, params=params22s, structural_pars=list(W=W_22))
mod22s
# The same reduced form model, reordered W and lambda in the structual model:
mod22s_2 <- reorder_W_columns(mod22s, perm=2:1)
mod22s_2
# Structural StMVAR(2, 2), d=2 model identified with sign-constraints:
mod22ts <- GSMVAR(p=2, M=2, d=2, params=c(params22s, 10, 20), model="StMVAR",
structural_pars=list(W=W_22))
mod22ts
# The same reduced form model, reordered W and lambda in the structual model:
mod22ts_2 <- reorder_W_columns(mod22ts, perm=2:1)
mod22ts_2