specify_starting_values_bsvar_msh | R Documentation |
The class StartingValuesBSVARMSH presents starting values for the bsvar model with Markov Switching Heteroskedasticity.
bsvars::StartingValuesBSVAR
-> StartingValuesBSVARMSH
A
an NxK
matrix of starting values for the parameter A
.
B
an NxN
matrix of starting values for the parameter B
.
hyper
a (2*N+1)x2
matrix of starting values for the shrinkage hyper-parameters of the
hierarchical prior distribution.
sigma2
an NxM
matrix of starting values for the MS state-specific variances of the structural shocks. Its elements sum to value M
over the rows.
PR_TR
an MxM
matrix of starting values for the transition probability matrix of the Markov process. Its elements sum to 1 over the rows.
xi
an MxT
matrix of starting values for the Markov process indicator. Its columns are a chosen column of an identity matrix of order M
.
pi_0
an M
-vector of starting values for state probability at time t=0
. Its elements sum to 1.
new()
Create new starting values StartingValuesBSVAR-MS.
specify_starting_values_bsvar_msh$new(N, p, M, T, d = 0, finiteM = TRUE)
N
a positive integer - the number of dependent variables in the model.
p
a positive integer - the autoregressive lag order of the SVAR model.
M
an integer greater than 1 - the number of Markov process' heteroskedastic regimes.
T
a positive integer - the the time series dimension of the dependent variable matrix Y
.
d
a positive integer - the number of exogenous
variables in the model.
finiteM
a logical value - if true a stationary Markov switching model is estimated. Otherwise, a sparse Markov switching model is estimated in which M=20
and the number of visited states is estimated.
Starting values StartingValuesBSVAR-MS.
get_starting_values()
Returns the elements of the starting values StartingValuesBSVAR-MS as a list
.
specify_starting_values_bsvar_msh$get_starting_values()
# starting values for a homoskedastic bsvar with 1 lag for a 3-variable system sv = specify_starting_values_bsvar_msh$new(N = 3, p = 1, M = 2, T = 100) sv$get_starting_values() # show starting values as list
set_starting_values()
Returns the elements of the starting values StartingValuesBSVARMSH as a list
.
specify_starting_values_bsvar_msh$set_starting_values(last_draw)
last_draw
a list containing the last draw.
An object of class StartingValuesBSVAR-MS including the last draw of the current MCMC as the starting value to be passed to the continuation of the MCMC estimation using estimate()
.
# starting values for a bsvar model with 1 lag for a 3-variable system sv = specify_starting_values_bsvar_msh$new(N = 3, p = 1, M = 2, T = 100) # Modify the starting values by: sv_list = sv$get_starting_values() # getting them as list sv_list$A <- matrix(rnorm(12), 3, 4) # modifying the entry sv$set_starting_values(sv_list) # providing to the class object
clone()
The objects of this class are cloneable with this method.
specify_starting_values_bsvar_msh$clone(deep = FALSE)
deep
Whether to make a deep clone.
# starting values for a bsvar model for a 3-variable system
sv = specify_starting_values_bsvar_msh$new(N = 3, p = 1, M = 2, T = 100)
## ------------------------------------------------
## Method `specify_starting_values_bsvar_msh$get_starting_values`
## ------------------------------------------------
# starting values for a homoskedastic bsvar with 1 lag for a 3-variable system
sv = specify_starting_values_bsvar_msh$new(N = 3, p = 1, M = 2, T = 100)
sv$get_starting_values() # show starting values as list
## ------------------------------------------------
## Method `specify_starting_values_bsvar_msh$set_starting_values`
## ------------------------------------------------
# starting values for a bsvar model with 1 lag for a 3-variable system
sv = specify_starting_values_bsvar_msh$new(N = 3, p = 1, M = 2, T = 100)
# Modify the starting values by:
sv_list = sv$get_starting_values() # getting them as list
sv_list$A <- matrix(rnorm(12), 3, 4) # modifying the entry
sv$set_starting_values(sv_list) # providing to the class object
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