Description Usage Arguments Value References Examples
View source: R/identification.R
Estimates the contemporaneous coefficients and the structural shocks covariance matrix using recursive identification or using a identity matrix.
1 | identification(object, type = c("recursive", "identity"))
|
object |
A HDvar or lbvar object. |
type |
"recursive" or "identity". The last is just using a identity matrix as contemporaneous shocks. |
A list with the following objects:
A |
Matrix of contemporaneous coefficients. |
sigma2u |
Structural shocks covariance matrix. |
type |
Matched type. |
Garcia, Medeiros and Vasconcelos (2017).
1 2 3 4 5 6 7 8 9 10 | ## == 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)
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