FCVARoptions: Set Estimation Options
In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

FCVARoptions

R Documentation

Set Estimation Options

Description

FCVARoptions defines the estimation options used in the FCVAR estimation procedure and the related programs.

Usage

FCVARoptions(...)

Arguments

...

A list of arguments to set to values other than the default settings. See the argument names in the return value below.

Value

An S3 object of class FCVAR_opt that stores the default estimation options, which includes the following parameters:

unc_optim_control: A list of options in the form of the argument control in the optim function for unconstrained optimization of the likelihood function over the fractional integration parameters. This is also used in the switching algorithm employed when linear constraints are imposed on the cointegrating relations beta or the adjustment coefficients alpha, so it must at least contain the arguments maxit and reltol, since it uses those parameters.
con_optim_control: A list of options in the form of the argument control in either the optim or the constrOptim function for constrained optimization of the likelihood function over the fractional integration parameters, using the 'L-BFGS-B' algorithm. It must at least contain the arguments maxit and pgtol.
LineSearch: Indicator for conducting a line search optimization within the switching algorithm when optimizing over constraints on the cointegrating relations β or the adjustment coefficients α. See Doornik (2018, Section 2.2) for details.
LocalMax: Indicator to select the local maximum with the highest value of b when there are multiple local optima. This is meant to alleviate the identification problem discussed in Johansen and Nielsen (2010, Section 2.3) and Carlini and de Magistris (2019). When LocalMax <- 0, the optimization returns the values of d and b corresponding to the global optimum.
dbMax: Upper bound for the fractional integration parameters d, b.
dbMin: Lower bound for the fractional integration parameters d, b.
db0: The starting values for optimization of the fractional integration parameters d, b.
constrained: Indicator to impose restriction dbMax >= d >= b >= dbMin.
restrictDB: Indicator to impose restriction d = b.
N: The number of initial values: the observations to condition upon.
unrConstant: Indicator to include an unrestricted constant.
rConstant: Indicator to include a restricted constant.
levelParam: Indicator to include level parameter.
C_db: CHECK whether still used.
c_db: CHECK whether still used.
UB_db: An upper bound on the fractional integration parameters d and b, after transforming the parameters to account for any restrictions imposed.
LB_db: A lower bound on the fractional integration parameters d and b, after transforming the parameters to account for any restrictions imposed.
R_psi: A matrix for defining restrictions on the fractional integration parameters d and b, of the form R_{ψ}(d, b)' = r_{ψ}.
r_psi: A vector for defining restrictions on the fractional integration parameters d and b, of the form R_{ψ}(d, b)' = r_{ψ}.
R_Alpha: A matrix for defining restrictions on the adjustment coefficients of the form R_{α}α = r_{α}.
r_Alpha: A vector for defining restrictions on the adjustment coefficients of the form R_{α}α = r_{α}.
R_Beta: A matrix for defining restrictions on the cointegrating relations of the form R_{β}β = r_{β}.
r_Beta: A vector for defining restrictions on the cointegrating relations of the form R_{β}β = r_{β}.
print2screen: Indicator to print output to screen.
printGammas: Indicator to print estimates and standard errors on autoregressive coefficients Γ_i, i = i, ..., k.
printRoots: Indicator to print roots of characteristic polynomial.
plotRoots: Indicator to plot roots of characteristic polynomial.
CalcSE: Indicator to calculate the standard errors. It is used when displaying results.
hess_delta: Size of increment for numerical calculation of derivatives of the likelihood function for numerical calculation of the Hessian matrix. The default is 10^(-4), which works well in practice to balance errors between precision and truncation.
gridSearch: Indicator to perform a grid search for the optimization over the fractional integration parameters, for more accurate estimation. This will make estimation take longer.
dbStep1D: The step size for the grid search over the fractional integration parameters for the 1-dimensional grid search (such as when restrictions are imposed between d and b.).
dbStep2D: The step size for the grid search over the fractional integration parameters for the 2-dimensional grid search.
plotLike: Indicator to plot the likelihood (only if gridSearch <- 1).
progress: Show a waitbar for a progress indicator for the grid search.
updateTime: How often progress is updated in the waitbar for the grid search (in seconds).

References

Doornik, J. A. (2018) "Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications." Scandinavian Journal of Statistics, Volume 45, Issue 2.

Johansen, Søren, and Morten Ørregaard Nielsen (2010) "Likelihood inference for a nonstationary fractional autoregressive model." Journal of Econometrics 158, 51–66.

Carlini, F., and P. S. de Magistris (2019) "On the identification of fractionally cointegrated VAR models with the F(d) condition." Journal of Business & Economic Statistics 37(1), 134–146.

Examples

opt <- FCVARoptions()
opt <- FCVARoptions(
    gridSearch   = 0, # Disable grid search in optimization.
    dbMin        = c(0.01, 0.01), # Set lower bound for d,b.
    dbMax        = c(2.00, 2.00), # Set upper bound for d,b.
    constrained  = 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
)

FCVAR documentation built on May 5, 2022, 9:06 a.m.