gmvarkit (version 1.4.1)

reorder_W_columns: Reorder columns of the W-matrix and lambda parameters of a structural GMVAR model.

Description

reorder_W_columns reorder columns of the W-matrix and lambda parameters of a structural GMVAR model.

Usage

reorder_W_columns(gmvar, perm)

Arguments

gmvar

an object of class 'gmvar' created with fitGMVAR or GMVAR.

perm

an integer vector of length \(d\) specifying the new order of the columns of \(W\). Also lambda parameters of each regime will be reordered accordingly.

Value

Returns an object of class 'gmvar' defining a structural GMVAR model with the modified structural parameters and constraints.

Details

The order of the columns of \(W\) can be changed without changing the implied reduced form model as long as the order of lambda parameters is also changed accordingly. Note that the constraints imposed on \(W\) (or the B-matrix) will also be modified accordingly.

This function does not support models with constraints imposed on the lambda parameters!

Also all signs in any column of \(W\) can be swapped (without changing the implied reduced form model) with the function swap_W_signs but this obviously also swaps the sign constraints in the corresponding columns of \(W\).

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Virolainen S. 2020. Structural Gaussian mixture vector autoregressive model. Unpublished working paper, available as arXiv:2007.04713.

See Also

fitGMVAR, GMVAR, GIRF, gmvar_to_sgmvar, swap_W_signs

Examples

# NOT RUN {
# Structural GMVAR(2, 2), d=2 model identified with sign-constraints:
params222s <- c(-11.964, 155.024, 11.636, 124.988, 1.314, 0.145, 0.094, 1.292,
 -0.389, -0.07, -0.109, -0.281, 1.248, 0.077, -0.04, 1.266, -0.272, -0.074,
  0.034, -0.313, 0.903, 0.718, -0.324, 2.079, 7.00, 1.44, 0.742)
W_222 <- matrix(c(1, 1, -1, 1), nrow=2, byrow=FALSE)
mod222s <- GMVAR(p=2, M=2, d=2, params=params222s, parametrization="mean",
                 structural_pars=list(W=W_222))
mod222s

# The same reduced form model, modified W and lambda:
mod222s_2 <- reorder_W_columns(mod222s, perm=2:1)
mod222s_2
# }