Description Usage Arguments Details Value Note Author(s) References See Also Examples
Persitence Profiles
1 |
x |
GVAR object |
n |
scalar, number of periods |
shock.var |
list of vectors of length 2, first element specifies the country to be shocked, second element the variable in the country (e.g. shock.var=c(13,3) third variable in US is going to be shocked) |
shock.dir |
a list of scalars, set to 1 or -1, for a (negative) 1sd shock, where sd refers to the country specific residuals. Alternatively, if scal = TRUE, any number submitted indicates the magnitude of the resulting first period shock, e.g. -0.01 for a 1% decrease in the first quarter |
scal |
TRUE if shock.dir indicates resulting value of shock |
system.shock |
set to |
xxx
xxx
xxx
xxx
xxx
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 | data(pesaran26)
c.names <- names(Data)[-length(Data)]
p <- c(2,2,2,1,2,2,1,2,2,2,2,1,2,1,1,2,2,2,2,2,2,1,2,2,2,2)
q <- c(2,2,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1)
lex <- q
endo <- ord <- we <- d <- vector("list",length=length(c.names))
names(endo) <- names(ord) <- names(we) <- names(d) <- c.names
# base country: usa
endo[[1]] <- c(1:3,5:7)
ord[[1]] <- c(1:3,5:7)
we[[1]] <- c(1:2,4)
d[[1]] <- NULL
# countries with 6 endogenous variables:
for (j in c("EuroArea", "Japan", "UK", "Sweden", "Switzerland", "Norway", "Australia", "Canada", "NewZealand", "Korea", "Safrica"))
{i <- which(c.names==j); endo[[i]] <- ord[[i]] <- 1:6}
# countries with 5 endogenous variables:
for (j in c("Argentina", "Chile", "Malaysia", "Philippines", "Singapore", "Thailand", "India"))
{i <- which(c.names==j); endo[[i]] <- ord[[i]] <- 1:5}
# countries with 4 endogenous variables:
for (j in c("China", "Brazil", "Mexico", "Peru", "Indonesia", "Turkey"))
{i <- which(c.names==j); endo[[i]] <- ord[[i]] <- c(1:2,4:5)}
# Saudi Arabia
endo[[21]] <- ord[[21]] <- c(1:2,4)
# all countries but us
for (i in 2:length(we))
{
we[[i]] <- c(1:3,5,6)
d[[i]] <- 1
}
Case <- "IV"
r <- c(2,1,1,4,3,3,3,2,2,1,2,3,3,4,4,3,3,4,1,2,3,3,2,1,1,1)
res.GVAR <- GVAR(Data=Data,r=r,p=p,q=q,weight=weight,Case=Case,exo.var=TRUE,d=d,lex=lex,ord=ord,we=we,endo=endo,method="max.eigen")
# PP
#testPP <- PP(res.GVAR, n=40, shock.var=list(c(1,2)), shock.dir=list(1), scal=FALSE, system.shock=FALSE)
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