restmtx: Utility function for generating the restriction matrix for...
In MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Description
Generates the restriction matrix for a set of hard condition
forecasts. See hc.forecast for details.
Usage
1
restmtx(nsteps, m)
Arguments
nsteps
Number of periods in the forecast horizon
m
Number of endogenous variables in the VAR.
Details
Builds the appropriately dimensioned and filled restriction matrix of
zeros and ones for hard condition forecasting.
Value
A matrix of dimensions (nsteps x m*nsteps) that can be used to
represent the restrictions in hard condition forecasting using
hc.forecast
Author(s)
Patrick T. Brandt
References
Waggoner, Daniel F. and Tao Zha. 1999. "Conditional
Forecasts in Dynamic Multivariate Models" Review of Economics and
Statistics, 81(4):639-651.
See Also
MSBVAR documentation built on May 30, 2017, 1:23 a.m.
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Description Usage Arguments Details Value Author(s) References See Also
Description
Generates the restriction matrix for a set of hard condition
forecasts. See hc.forecast for details.
Usage
1 | restmtx(nsteps, m)
|
Arguments
nsteps |
Number of periods in the forecast horizon |
m |
Number of endogenous variables in the VAR. |
Details
Builds the appropriately dimensioned and filled restriction matrix of zeros and ones for hard condition forecasting.
Value
A matrix of dimensions (nsteps x m*nsteps) that can be used to
represent the restrictions in hard condition forecasting using
hc.forecast
Author(s)
Patrick T. Brandt
References
Waggoner, Daniel F. and Tao Zha. 1999. "Conditional Forecasts in Dynamic Multivariate Models" Review of Economics and Statistics, 81(4):639-651.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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