uhlig: Uhlig's Method.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

Solve a DSGE model using Uhlig's method.

Usage

uhlig(A,B,C,D,F,G,H,J,K,L,M,N,whichEig=NULL)

Arguments

A,B,C,D	The ‘uhlig’ function requires the three blocks of matrices, with 12 matrices in total. The A, B, C, and D matrices form the deterministic block.
F,G,H,J,K,L,M	The F, G, and H matrices form the expectational block for the control variables. The J and K matrices are for the ‘jump’ variables, and L and M are for the exogenous shocks.
N	The N matrix defines the autoregressive structure of any exogenous shocks.
whichEig	The function will return the eigenvalues and (right) eigenvectors used to construct the solution matrices, with the eigenvalues sorted in order of smallest to largest (in absolute value). By default, BMR will select the first (smallest) m eigenvalues (out of a total of 2m eigenvalues). However, if you prefer to select the eigenvalues yourself, then enter a numeric vector of length m indicating which elements of the eigenvalue matrix you wish to use.

Details

For the technical details of Uhlig's method, see the accompanying vignette.

Value

The function returns an object of class ‘uhlig’, which contains:

N	The user-specified N matrix, defining the autoregressive structure of any exogenous shocks.
P	The P matrix from Uhlig's solution.
Q	The Q matrix from Uhlig's solution.
R	The R matrix from Uhlig's solution.
S	The S matrix from Uhlig's solution.
EigenValues	The sorted eigenvalues that form the solution to the P matrix. If a situation of plus/minus infinity in the real part of an eigenvalue (with a corresponding NaN-valued imaginary part) arises, the eigenvalue will be set to 1E+07 +0i.
EigenVectors	The eigenvectors corresponding to the sorted eigenvalues.

Author(s)

Keith O'Hara

References

Uhlig, Harald, A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily Computational Methods for the Study of Dynamic Economics, Oxford University Press, 1999.

See Also

IRF.uhlig, DSGESim.

Examples

## Not run: 
dsgetest <- uhlig(A,B,C,D,F,G,H,J,K,L,M,N)

## End(Not run)

kthohr/BMR documentation built on May 20, 2019, 7:04 p.m.