id.chol: Recursive identification of SVAR models via Cholesky...

View source: R/id.chol.R

id.cholR Documentation

Recursive identification of SVAR models via Cholesky decomposition

Description

Given an estimated VAR model, this function uses the Cholesky decomposition to identify the structural impact matrix B of the corresponding SVAR model

y_t=c_t+A_1 y_{t-1}+...+A_p y_{t-p}+u_t =c_t+A_1 y_{t-1}+...+A_p y_{t-p}+B ε_t.

Matrix B corresponds to the decomposition of the least squares covariance matrix Σ_u=BΛ_t B'.

Usage

id.chol(x, order_k = NULL)

Arguments

x

An object of class 'vars', 'vec2var', 'nlVar'. Estimated VAR object

order_k

Vector. Vector of characters or integers specifying the assumed structure of the recursive causality. Change the causal ordering in the instantaneous effects without permuting variables and re-estimating the VAR model.

Value

A list of class "svars" with elements

B

Estimated structural impact matrix B, i.e. unique decomposition of the covariance matrix of reduced form residuals

n

Number of observations

method

Method applied for identification

order_k

Ordering of the variables as assumed for recursive causality

A_hat

Estimated VAR parameter

type

Type of the VAR model, e.g. 'const'

y

Data matrix

p

Number of lags

K

Dimension of the VAR

VAR

Estimated input VAR object

References

Luetkepohl, H., 2005. New introduction to multiple time series analysis, Springer-Verlag, Berlin.

See Also

For alternative identification approaches see id.st, id.cvm, id.cv, id.dc or id.ngml

Examples



# data contains quarterly observations from 1965Q1 to 2008Q3
# x = output gap
# pi = inflation
# i = interest rates
set.seed(23211)
v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.chol(v1)
x2 <- id.chol(v1, order_k = c("pi", "x", "i")) ## order_k = c(2,1,3)
summary(x1)


# impulse response analysis
i1 <- irf(x1, n.ahead = 30)
i2 <- irf(x2, n.ahead = 30)
plot(i1, scales = 'free_y')
plot(i2, scales = 'free_y')




alexanderlange53/SVAR_Identification_Package documentation built on Feb. 2, 2023, 5:25 a.m.