bsvars (version 3.1)

specify_data_matrices: R6 Class Representing DataMatricesBSVAR

Description

The class DataMatricesBSVAR presents the data matrices of dependent variables, \(Y\), and regressors, \(X\), for the homoskedastic bsvar model.

Public fields

Y

an NxT matrix of dependent variables, \(Y\).

X

an KxT matrix of regressors, \(X\).

Methods

Public methods

• specify_data_matrices$new()

• specify_data_matrices$get_data_matrices()

• specify_data_matrices$clone()

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Method new()

Create new data matrices DataMatricesBSVAR.

Usage

specify_data_matrices$new(data, p = 1L, exogenous = NULL)

Arguments

data

a (T+p)xN matrix with time series data.

p

a positive integer providing model's autoregressive lag order.

exogenous

a (T+p)xd matrix of exogenous variables. This matrix should not include a constant term.

Returns

New data matrices DataMatricesBSVAR.

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Method get_data_matrices()

Returns the data matrices DataMatricesBSVAR as a list.

Usage

specify_data_matrices$get_data_matrices()

Examples

data(us_fiscal_lsuw)
YX = specify_data_matrices$new(data = us_fiscal_lsuw, p = 4)
YX$get_data_matrices()

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Method clone()

The objects of this class are cloneable with this method.

Usage

specify_data_matrices$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

data(us_fiscal_lsuw)
YX = specify_data_matrices$new(data = us_fiscal_lsuw, p = 4)
dim(YX$Y); dim(YX$X)


## ------------------------------------------------
## Method `specify_data_matrices$get_data_matrices`
## ------------------------------------------------

data(us_fiscal_lsuw)
YX = specify_data_matrices$new(data = us_fiscal_lsuw, p = 4)
YX$get_data_matrices()