swap_W_signs {gmvarkit} | R Documentation |
Swap all signs in pointed columns a the
matrix of a structural GMVAR, StMVAR, or G-StMVAR model.
Description
swap_W_signs
swaps all signs in pointed columns a the matrix
of a structural GMVAR, StMVAR, or G-StMVAR model. Consequently, signs in the columns of the B-matrix are also swapped
accordingly.
Usage
swap_W_signs(gsmvar, which_to_swap)
Arguments
gsmvar |
an object of class |
which_to_swap |
a numeric vector of length at most |
Details
All signs in any column of can be swapped without changing the implied reduced form model.
Consequently, also the signs in the columns of the B-matrix are swapped. Note that the sign constraints
imposed on
(or the B-matrix) are also swapped in the corresponding columns accordingly.
Also 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. This can be
done with the function
reorder_W_columns
.
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 Unpublished working paper, available as arXiv:2109.13648.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
, reorder_W_columns
,
gsmvar_to_sgsmvar
, stmvar_to_gstmvar
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, with signs in the second column of W swapped:
swap_W_signs(mod22s, which_to_swap=2)
# The same reduced form model, with signs in both column of W swapped:
swap_W_signs(mod22s, which_to_swap=1:2)
#' # Structural G-StMVAR(2, 1, 1), d=2 model identified with sign-constraints:
mod22gss <- GSMVAR(p=2, M=c(1, 1), d=2, params=c(params22s, 10), model="G-StMVAR",
structural_pars=list(W=W_22))
mod22gss
# The same reduced form model, with signs in the first column of W swapped:
swap_W_signs(mod22gss, which_to_swap=1)