HVAR.old: Estimation of a HVAR(p)

In jpfitzinger/HierarchicalVAR: Hierarchical VAR Modelling

Description

Estimation of a HVAR using a clustered and diagonalised regressor matrix.

Usage

HVAR.old(y, p = 1, type = c("const", "trend", "both", "none"),
  det = c("before", "after", "during"), season = NULL, exogen = NULL,
  clust.method = c("AGNES", "DIANA", "OPT"), clust.control = NULL,
  distance.lambda = 0, max.splits = 1, min.cluster = 1,
  p.value = 1)

Arguments

y	Data item containing the endogenous variables
p	Integer for the lag order (default is p=1)
type	Type of deterministic regressors to include
det	Should deterministic items be partialled out before, after or during coefficient estimation
season	Inclusion of centered seasonal dummy variables (integer value of frequency)
exogen	Inclusion of exogenous variables
clust.method	Hierarchical clustering algorithm used to diagonalise the regressor correlation matrix
clust.control	Optional arguments to pass to clust.method
distance.lambda	Splitting threshold (must be within the range 0-1). See details for more information
max.splits	Maximum number of splits to place at each hierarchical level
min.cluster	Minimum number of items at each final node of the hierarchy
p.value	Prune hierarchical tree by ignoring branches with an insignificant parent coefficient (specify significance level)

Details

This function implements a VAR model, where the parameter space is restricted along a hierarchical structure.

The parameter 'clust.method' sets the cluster algorithm used to determine the hierarchical cluster. AGNES and DIANA implement the Agglomerative Nesting and Divisive Analysis algorithms of the 'cluster' package, while OPT using the package 'gaoptim' to optimise quasi-diagonality the regressor correlation matrix using the genetic permutation method 'GAPerm'.

'clust.control' allows additional arguments to be passed to the cluster method. Currently, only 2 are implemented: the AGNES method (default is single-linkage) and the maximum iterations (niter) for the genetic optimiser.

The 'distance.lambda'controls the location where the cluster tree may be split into new branches. distance.lambda=1 searches for the optimal splitting location, while distance.lambda=0 permits any location. If max.splits>=ncol(x), where x is the regressor matrix, and distance.lambda=0, a normal VAR model is estimated.

'max.splits' controls the maximum splits to place at each level (default is 1). If there are more qualifying splits than max.splits, then the function prioritises tree symmetry.

Value

A 'varest' object (see package 'vars'). This can be used with methods such as 'Bcoef', 'predict', 'fevd', etc. from the 'vars'-package. Note that this is not a perfect solution. For instance, bootstrapping irf intervals will not work and the 'lm' objects contained in 'object$varest' are not native. The purpose is to enable the user to process results, but native functions will be added in future.

jpfitzinger/HierarchicalVAR documentation built on May 9, 2019, 5:06 a.m.