swap_W_signs {gmvarkit}R Documentation

Swap all signs in pointed columns a the WW matrix of a structural GMVAR, StMVAR, or G-StMVAR model.

Description

swap_W_signs swaps all signs in pointed columns a the WW 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 'gsmvar', typically created with fitGSMVAR or GSMVAR.

which_to_swap

a numeric vector of length at most dd and elemnts in 1,..,d1,..,d specifying the columns of WW whose sign should be swapped.

Details

All signs in any column of WW 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 WW (or the B-matrix) are also swapped in the corresponding columns accordingly.

Also the order of the columns of WW 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

@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)

[Package gmvarkit version 2.1.2 Index]