is_identified: Verify whether an SVAR model is identified

In nielsaka/zeitreihe: Simulate, Estimate, Select, and Forecast Multiple Time Series Processes

Description

Verify whether an SVAR model is identified

Usage

is_identified(A = NULL, B = NULL, SIGMA_U = NULL)

Arguments

A	A square numeric matrix, the coefficient of contemporaneous effects between endogenous variables. Its dimension is (K x K).
B	A square numeric matrix, the coefficient of contemporaneous effects of structural shocks on endogenous variables. Its dimension is (K x K).
SIGMA_U	A square numeric matrix, the reduced-form residual covariances. Its dimension is (K x K). The default setting assumes unit variance of the structural shocks.

Note

"The default setting assumes unit variance of the structural shocks." TRUE?

nielsaka/zeitreihe documentation built on March 17, 2020, 8:38 p.m.