set_identification_zero: Identify structural shocks using zero restrictions

In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description

Identify structural shocks using zero restrictions

Usage

set_identification_zero(restrictions)

Arguments

restrictions

an KxKxK matrix with zero restrictions

Details

This function creates an object of the class zero needed for 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 KxKxK-matrix with zero restrictions, i.e. a 3-dimensional matrix of 0s and 1s with K being the number of variables in the VAR-model. Zero-restriction is implemented using the algorithm proposed by

Value

returns an S3 object of the class zero

References

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.