View source: R/parameterReforms.R
reform_structural_pars | R Documentation |
reform_structural_pars
reforms (unconstrained) structural
parameter vector into the form that corresponds to reduced form parameter vectors.
reform_structural_pars(
p,
M,
d,
params,
model = c("GMVAR", "StMVAR", "G-StMVAR"),
structural_pars = NULL
)
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
d |
the number of time series in the system. |
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
model |
is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first |
structural_pars |
If
See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is |
If the structural parameter vector is a constrained one, use
reform_constrained_pars
first to remove the constraints.
Returns (unconstrained) "reduced form model" parameter vector.
No argument checks!
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal
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