get_unconstrained_structural_pars: Get structural parameters that indicate there are no...
In gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

get_unconstrained_structural_pars

R Documentation

Get structural parameters that indicate there are no constraints

Description

get_unconstrained_struct_pars return structural parameters that indicate there are no constraints (except possibly sign constraints).

Usage

get_unconstrained_structural_pars(structural_pars = NULL)

Arguments

structural_pars

If NULL a reduced form model is considered. Reduced models can be used directly as recursively identified structural models. For a structural model identified by conditional heteroskedasticity, should be a list containing at least the first one of the following elements:

W - a (dxd) matrix with its entries imposing constraints on W: NA indicating that the element is unconstrained, a positive value indicating strict positive sign constraint, a negative value indicating strict negative sign constraint, and zero indicating that the element is constrained to zero.
C_lambda - a (d(M-1) \times r) constraint matrix that satisfies (\lambda_{2},..., \lambda_{M}) = C_{\lambda} \gamma where \gamma is the new (r \times 1) parameter subject to which the model is estimated (similarly to AR parameter constraints). The entries of C_lambda must be either positive or zero. Ignore (or set to NULL) if the eigenvalues \lambda_{mi} should not be constrained.
fixed_lambdas - a length d(M-1) numeric vector (\lambda_{2},..., \lambda_{M}) with elements strictly larger than zero specifying the fixed parameter values for the parameters \lambda_{mi} should be constrained to. This constraint is alternative C_lambda. Ignore (or set to NULL) if the eigenvalues \lambda_{mi} should not be constrained.

See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is W times a time-varying diagonal matrix with positive diagonal entries).

Details

Intended to be called after calling the function reform_constrained_pars to avoid remove the constraints again in any further function calls as this will create bugs.