Description Usage Arguments Details Value References
View source: R/identification.r
set identification via sign restrictions
1 | set_identification_sign(restrictions)
|
restrictions |
the sign restrictions |
This functions creates an object of the class sign needed for the identification of structural shocks. Identification of structural shocks is needed for further analytic steps such as studying Impulse-Responses or Historical Decomposition. Necessary input is a KxK-matrix with the sign restrictions, i.e. a positive or negative number. And K is the number of variables in the VAR-model. Sign-Restriction is implemented using the Algorithm proposed by Rubio-Ramirez et al. (2010).
returns an S3 object of the class sign
Juan F. Rubio-Ramirez, Daniel F. Waggoner and Tao Zha, 2010, Structural Vector Autoregressions: Theory of Identification and Algorithms for inference, Review of Economic Studies 77(2),665-696
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