gsmvar_to_sgsmvar: Switch from two-regime reduced form GMVAR, StMVAR, or...

Description Usage Arguments Details Value References See Also Examples

View source: R/GSMVARconstruction.R

Description

gsmvar_to_sgsmvar constructs SGMVAR, SStMVAR, or SG-StMVAR model based on a reduced form GMVAR, StMVAR, or G-StMVAR model.

Usage

1
gsmvar_to_sgsmvar(gsmvar, calc_std_errors = TRUE)

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

calc_std_errors

should approximate standard errors be calculated?

Details

The switch is made by simultaneously diagonalizing the two error term covariance matrices with a well known matrix decomposition (Muirhead, 1982, Theorem A9.9) and then normalizing the diagonal of the matrix W positive (which implies positive diagonal of the B-matrix). Models with more that two regimes are not supported because the matrix decomposition does not generally exists for more than two covariance matrices. If the model has only one regime (= regular SVAR model), a symmetric and pos. def. square root matrix of the error term covariance matrix is used.

The columns of W as well as the lambda parameters can be re-ordered (without changing the implied reduced form model) afterwards with the function reorder_W_columns. Also all signs in any column of W can be swapped (without changing the implied reduced form model) afterwards with the function swap_W_signs. These two functions work with models containing any number of regimes.

Value

Returns an object of class 'gsmvar' defining a structural GMVAR, StMVAR, or G-StMVAR model based on a two-regime reduced form GMVAR, StMVAR, or G-StMVAR model, with the main diagonal of the B-matrix normalized to be positive.

References

See Also

fitGSMVAR, GSMVAR, GIRF, reorder_W_columns, swap_W_signs, stmvar_to_gstmvar

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
# Reduced form GMVAR(1,2) model
params12 <- c(0.55, 0.112, 0.344, 0.055, -0.009, 0.718, 0.319,
 0.005, 0.03, 0.619, 0.173, 0.255, 0.017, -0.136, 0.858, 1.185,
 -0.012, 0.136, 0.674)
mod12 <- GSMVAR(gdpdef, p=1, M=2, params=params12)

# Form a structural model based on the reduced form model:
mod12s <- gsmvar_to_sgsmvar(mod12)
mod12s

#' # Reduced form StMVAR(1,2) model
mod12t <- GSMVAR(gdpdef, p=1, M=2, params=c(params12, 11, 12), model="StMVAR")

# Form a structural model based on the reduced form model:
mod12ts <- gsmvar_to_sgsmvar(mod12t)
mod12ts

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