zerosign_restr_ala_arias: Perform simulations to identify shock under zero and sign...

In roootra/ZerosignR: SVAR identification by zero-sign restrictions

Perform simulations to identify shock under zero and sign restrictions — primitives

Description

Perform simulations to identify shock under zero and sign restrictions — primitives

Usage

zerosign_restr_ala_arias(
  irfs,
  B,
  Sigma,
  zero_sign_matrix,
  tries,
  negative_Q = TRUE,
  perm_Q = FALSE
)

Arguments

irfs	IRF matrix of size nvars x (nvars*horizons) — columnwise-stacked IRFs by periods if there is more than one period of IRF.
B	B = A+ * A0^(-1) — matrix of reduced parameters in form B = (c, B1, ..., Bp). If there are no constants in model, just add extra zero column to the beginning of B.
Sigma	Variance-covariance matrix of error term.
zero_sign_matrix	Square matrix of zero and sign restrictions nvars x nvars. Columns = shocks, structural and residual ones. Put 0 into (i,j)-th cell of this matrix in order to set zero restriction to the i-th variable response to the shock j.
tries	Number of tries of random orthonormal matrix generation
negative_Q	(default = TRUE). Whether also check negative Q.
perm_Q	NOT IMPLEMENTED. Whether to account for permutation of matrix Q columns to increase method's efficiency.

Details

This function simulates orthognormal random matrices Q given number of times for given IRF matrix in order to identify structural shocks. It returns a list of Q matrices and transformed IRFs that satisfy imposed restrictions.

Note that for matrix of zero and sign restrictions matrix user should order ariables in descending order of number of zero restrictions. If there are two or more variables with the same number of zero restrictions, their order can be arbitrary. There cannot be more than nvars - j zero restrictions for j th column (in total for all time periods).

roootra/ZerosignR documentation built on May 23, 2022, 2:06 p.m.