swap_parametrization {gmvarkit} | R Documentation |
Swap the parametrization of a GMVAR, StMVAR, or G-StMVAR model
Description
swap_parametrization
swaps the parametrization of a GMVAR, StMVAR or G-StMVAR, model
to "mean"
if the current parametrization is "intercept"
, and vice versa.
Usage
swap_parametrization(gsmvar)
Arguments
gsmvar |
an object of class |
Details
swap_parametrization
is a convenient tool if you have estimated the model in
"intercept"-parametrization, but wish to work with "mean"-parametrization in the future, or vice versa.
In gmvarkit
, the approximate standard errors are only available for parametrized parameters.
Value
Returns an object of class 'gsmvar'
defining the specified reduced form or structural GMVAR,
StMVAR, or G-StMVAR model. Can be used to work with other functions provided in gmvarkit
.
Note that the first autocovariance/correlation matrix in $uncond_moments
is for the lag zero,
the second one for the lag one, etc.
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Kalliovirta L. and Saikkonen P. 2010. Reliable Residuals for Multivariate Nonlinear Time Series Models. Unpublished Revision of HECER Discussion Paper No. 247.
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 Unpublished working paper, available as arXiv:2109.13648.
See Also
fitGSMVAR
, GSMVAR
, iterate_more
, update_numtols
Examples
# GMVAR(2, 2), d=2 model with mean-parametrization:
params22 <- c(0.869, 0.549, 0.223, 0.059, -0.151, 0.395, 0.406,
-0.005, 0.083, 0.299, 0.215, 0.002, 0.03, 0.576, 1.168, 0.218,
0.02, -0.119, 0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004,
0.105, 0.58)
mod22 <- GSMVAR(gdpdef, p=2, M=2, params=params22, parametrization="mean")
mod22 # mean parametrization
mod22_2 <- swap_parametrization(mod22)
mod22_2 # intercept parametrization
# G-StMVAR(2, 1, 1), d=2 model with mean-parametrization:
mod22gs <- GSMVAR(gdpdef, p=2, M=c(1, 1), params=c(params22, 10), model="G-StMVAR",
parametrization="mean")
mod22gs # mean parametrization
mod22gs_2 <- swap_parametrization(mod22gs)
mod22gs_2 # intercept parametrization
# 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 # intercept parametrization
mod22s_2 <- swap_parametrization(mod22s)
mod22s_2 # mean parametrization