View source: R/set.mdl_pesaran.R
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mdls |
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exo |
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skip |
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 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 | ##---- Should be DIRECTLY executable !! ----
##-- ==> Define data, use random,
##-- or do help(data=index) for the standard data sets.
## The function is currently defined as
function(mdls,exo=NULL,skip=NULL)
# inputs:
# _mdls from a reduced rank VECM estimation
# _chosen rank r
# _number of (strictly) exogenous variables
# outputs:
# _VECM and VAR parameters
{
mdl<- list()
mdl$VECM<- list()
mdl$VAR<- list()
## extract the VECM parameters for the chosen rank r of the cointegration matrix:
for (p in names(mdls)) {
if (!(p %in% skip)) {
if (is.list(mdls[[p]])) {
mdl$VECM[[p]]<- mdls[[p]]
} else mdl$VECM[[p]]<- mdls[[p]]
}
}
mdl$VECM$exo <- exo
## convert the VECM paramters to VAR parameters:
if (mdls[["type"]]=="weakly exogenous VECM") {
# y_t has n components, x_t has k components, k+n=m
# VECM: \Delta y_t = c_0+c_1 t+\Lambda\Delta x_t+\sum_{i=1}^{p-1}\Psi_i\Delta z_{t-i}+\Pi.y z_{t-1}+u_t, where u_t is N(0,\Omega_{uu})
# VAR model: y_t = c_0+c_1*t+B_0 x_t+\sum_{i=1}^{p}[B_i x_{t-i}+A_i y_{t-i}]+u_t
m <- mdl$VECM[["m"]]
n <- mdl$VECM[["n"]]
ex <- mdl$VECM$ex
k <- m-n
p <- mdl$VECM[["p"]]
q <- mdl$VECM$q
lex <- mdl$VECM$lex
A <- vector("list",p)
B <- vector("list",q)
# NOTE: p>0 is assumed!
if (p>1) {
A[[1]]<- diag(n)+mdl$VECM[["Pi.y"]][,1:n]+mdl$VECM[["Phi"]][[1]]
if (p>2) {
for (i in 2:(p-1)) {
A[[i]]<- mdl$VECM[["Phi"]][[i]]-mdl$VECM[["Phi"]][[i-1]]
}
}
A[[p]]<- -mdl$VECM[["Phi"]][[p-1]][,1:n]
} else if (p==1) {
A[[1]]<- diag(n)+mdl$VECM[["Pi.y"]][,1:n]
}
# NOTE: k>0 is assumed!
if (q>1) {
B[[1]]<- -mdl$VECM[["Lambda"]][,1:(m-n)]+mdl$VECM[["Pi.y"]][,(n+1):m]+mdl$VECM[["Psi"]][[1]][,1:k]
if (q>2) {
for (i in 2:(q-1)) {
B[[i]]<- mdl$VECM[["Psi"]][[i]][,1:k]-mdl$VECM[["Psi"]][[i-1]][,1:k]
}
}
B[[q]]<- -mdl$VECM[["Psi"]][[q-1]][,1:k]
} else if (q==1) {
B[[1]]<- -mdl$VECM[["Lambda"]][,1:(m-n)]+mdl$VECM[["Pi.y"]][,(n+1):m]
}
mdl$VAR$A<- A
mdl$VAR$B<- B
mdl$VAR$B_0<- mdl$VECM[["Lambda"]][,1:(m-n)]
if (!is.null(exo)) {
Upsilon <- vector("list",lex)
if ((lex>1) && (q>1)) {
Upsilon[[1]]<- -mdl$VECM[["Lambda"]][,(m-n+1):(m-n+exo)]+mdl$VECM[["Pi.y"]][,(m+1):(m+exo)]+mdl$VECM[["Psi"]][[1]][,-(1:k)]
if (lex>2) {
for (i in 2:(lex-1)) {
if (q>=i)
{
Upsilon[[i]] <- mdl$VECM[["Psi"]][[i]][,-(1:k)]-mdl$VECM[["Psi"]][[i-1]][,-(1:k)]
} else {
Upsilon[[i]] <- mdl$VECM[["Psi"]][[i]][,1:exo]-mdl$VECM[["Psi"]][[i-1]][,1:exo]
}
}
}
if (q>=lex) {
Upsilon[[lex]] <- -mdl$VECM[["Psi"]][[lex-1]][,-(1:k)]
} else {
Upsilon[[lex]] <- -mdl$VECM[["Psi"]][[lex-1]][,1:exo]
}
} else if ((lex>1) && (q<2)) {
Upsilon[[1]] <- -mdl$VECM[["Lambda"]][,1:exo]+mdl$VECM[["Pi.y"]][,(m+1):(m+exo)]+mdl$VECM[["Psi"]][[1]][,1:exo]
if (lex>2) {
for (i in 2:(lex-1)) {
Upsilon[[i]] <- mdl$VECM[["Psi"]][[i]][,1:exo]-mdl$VECM[["Psi"]][[i-1]][,1:exo]
}
}
Upsilon[[lex]] <- -mdl$VECM[["Psi"]][[lex-1]][,1:exo]
} else if (lex==1) {
Upsilon[[1]]<- -mdl$VECM[["Lambda"]][,(m-n+1):(m-n+exo)]+mdl$VECM[["Pi.y"]][,(m+1):(m+exo)]
}
mdl$VAR$Upsilon<- Upsilon
mdl$VAR$Upsilon_0 <- mdl$VECM[["Lambda"]][,(m-n+1):(m-n+exo)]
}
for (pn in names(mdl$VECM)) {
if (!(pn %in% c("Lambda","Psi","alpha","beta","Pi.y"))) {
mdl$VAR[[pn]]<- mdl$VECM[[pn]]
}
}
mdl$VAR$exo <- exo
} else if ( mdls[["type"]]=="pure VECM" ) {
# Y_t has n components
# VECM: \Delta Y_t = \Pi Y_{t-1}+\sum_{i=1}^{k-1} \Gamma_i\Delta Y_{t-i}+\Phi D_t+\epsilon_t, where \epsilon_t is N(0,\Omega) and \Phi D_t= \mu_0+\mu_1 t
# VAR model: Y_t = A_1 Y_{t-1}+...+ A_k Y_{t-k} +\Phi D_t+\epsilon_t
p<- mdl$VECM[["p"]]
n<- mdl$VECM[["n"]]
A<- vector("list",p)
# NOTE: k>0 is assumed!
if (p>1) {
A[[1]]<- diag(n)+mdl$VECM[["Pi"]]+mdl$VECM[["Gamma"]][[1]]
if (p>2) {
for (i in 2:(p-1)) {
A[[i]]<- mdl$VECM[["Gamma"]][[i]]-mdl$VECM[["Gamma"]][[i-1]]
}
}
A[[p]]<- -mdl$VECM[["Gamma"]][[p-1]]
} else if (p==1) {
A[[1]]<- diag(n)+mdl$VECM[["Pi"]]
}
mdl$VAR$A<- A
for (pn in names(mdl$VECM)) {
if (!any(pn %in% c("Gamma","alpha","beta","Pi"))) {
mdl$VAR[[pn]]<- mdl$VECM[[pn]]
}
}
}
return(mdl)
}
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