chol_ident: Cholesky identification of the IRF

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Cholesky identification of the IRF

Description

chol_ident carries out the recursive identification using the Cholesky decomposition of the (q x q) innovation covariance matrix. The resulting IRF has then a structural interpretation depending on the ordering of the variables. The user must specify whether the estimation method of the DFM is the S-DFM (DfmRawImp) or D-DFM (estim_wrap).

Usage

chol_ident(est_obj, int_vars, est_type = c("rmfd", "fglr"))

Arguments

est_obj	estim_wrap or DfmRawImp object containing the raw IRF and the matrix used to obtain the lower triangular Cholesky factor
int_vars	vector denoting the variables of interest and the respective ordering
est_type	specify the DFM estimation method

Value

An IRF array of the same size as the raw IRF used as an input

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.