get_unconstrained_structural_pars: Get structural parameters that indicate there are no...

Description Usage Arguments Details Value Warning

View source: R/parameterReforms.R

Description

get_unconstrained_struct_pars return structural parameters that indicate there are no constraints (except possibly sign constraints).

Usage

1

Arguments

structural_pars

If NULL a reduced form model is considered. For structural model, should be a list containing the following elements:

  • W - a (dxd) matrix with its entries imposing constraints on W: NA indicating that the element is unconstrained, a positive value indicating strict positive sign constraint, a negative value indicating strict negative sign constraint, and zero indicating that the element is constrained to zero.

  • C_lambda - a (d(M-1) x r) constraint matrix that satisfies (λ_{2},..., λ_{M}) = C_{λ} γ where γ is the new (r x 1) parameter subject to which the model is estimated (similarly to AR parameter constraints). The entries of C_lambda must be either positive or zero. Ignore (or set to NULL) if the eigenvalues λ_{mi} should not be constrained.

See Virolainen (2020) for the conditions required to identify the shocks and for the B-matrix as well (it is W times a time-varying diagonal matrix with positive diagonal entries).

Details

Intended to be called after calling the function reform_constrained_pars to avoid remove the constraints again in any further function calls as this will create bugs. Sign constraints are irrelevant in this context.

Value

Returns a list with $W being (d x d) matrix of ones and $C_lambda being NULL. If the supplied argument is NULL, returns NULL.

Warning

No argument checks!


saviviro/gmvarkit documentation built on Oct. 25, 2021, 2:14 a.m.