set_identification_sign: set identification via sign restrictions
In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description Usage Arguments Details Value References

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

joergrieger/bvar documentation built on July 3, 2020, 5:34 p.m.