gmvarkit (version 1.5.0)

swap_W_signs: Swap all signs in pointed columns a the \(W\) matrix of a structural GMVAR model.

Description

swap_W_signs swaps all signs in pointed columns a the \(W\) matrix of a structural GMVAR model. Consequently, signs in the columns of the B-matrix are also swapped accordingly.

Usage

swap_W_signs(gmvar, which_to_swap)

Arguments

gmvar

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

which_to_swap

a numeric vector of length at most \(d\) and elemnts in \(1,..,d\) specifying the columns of \(W\) whose sign should be swapped.

Value

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

Details

All signs in any column of \(W\) can be swapped without changing the implied reduced form model. Consequently, also the signs in the columns of the B-matrix are swapped. Note that the sign constraints imposed on \(W\) (or the B-matrix) are also swapped in the corresponding columns accordingly.

Also 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. This can be done with the function reorder_W_columns.

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 Unpublished working paper, available as arXiv:2007.04713.

@keywords internal

See Also

fitGMVAR, GMVAR, GIRF, reorder_W_columns, gmvar_to_sgmvar

Examples

# NOT RUN {
# Structural GMVAR(2, 2), d=2 model identified with sign-constraints:
params22s <- c(0.36, 0.121, 0.484, 0.072, 0.223, 0.059, -0.151, 0.395,
  0.406, -0.005, 0.083, 0.299, 0.218, 0.02, -0.119, 0.722, 0.093, 0.032,
  0.044, 0.191, 0.057, 0.172, -0.46, 0.016, 3.518, 5.154, 0.58)
W_22 <- matrix(c(1, 1, -1, 1), nrow=2, byrow=FALSE)
mod22s <- GMVAR(p=2, M=2, d=2, params=params22s, structural_pars=list(W=W_22))
mod22s

# The same reduced form model, with signs in the second column of W swapped:
swap_W_signs(mod22s, which_to_swap=2)

# The same reduced form model, with signs in both column of W swapped:
swap_W_signs(mod22s, which_to_swap=1:2)
# }