identification: Recursive identification of a VAR model

In gabrielrvsc/HDeconometrics: Implementation of several econometric models in high-dimension.

Description

Estimates the contemporaneous coefficients and the structural shocks covariance matrix using recursive identification or using a identity matrix.

Usage

identification(object, type = c("recursive", "identity"))

Arguments

object	A HDvar or lbvar object.
type	"recursive" or "identity". The last is just using a identity matrix as contemporaneous shocks.

Value

A list with the following objects:

A	Matrix of contemporaneous coefficients.
sigma2u	Structural shocks covariance matrix.
type	Matched type.

References

Garcia, Medeiros and Vasconcelos (2017).

Examples

## == This example uses the Brazilian inflation data from
#Garcia, Medeiros and Vasconcelos (2017) == ##

# = This is an ilustrative example = #
# = The identification ignores which variables are more exogenous = #

data("BRinf")
Y=BRinf[,1:59]# remove expectation variables
modelB=lbvar(Y,p=4)
identB=identification(modelB)

gabrielrvsc/HDeconometrics documentation built on April 28, 2020, 7:12 a.m.