gmvarkit (version 2.2.0)

get_unconstrained_structural_pars: Get structural parameters that indicate there are no constraints

Description

get_unconstrained_struct_pars return structural parameters that indicate there are no constraints (except possibly sign constraints).

Usage

get_unconstrained_structural_pars(structural_pars = NULL)

Value

Returns a list with $W being $(dxd)$ matrix of NAs and $C_lambda being NULL. If the supplied argument is NULL, returns NULL.

Arguments

structural_pars

If NULL a reduced form model is considered. Reduced models can be used directly as recursively identified structural models. For a structural model identified by conditional heteroskedasticity, should be a list containing at least the first one of the following elements:

• W - a $(dxd)$ matrix with its entries imposing constraints on $W$: NA indicating that the element is unconstrained, a positive value indicating strict positive sign constraint, a negative value indicating strict negative sign constraint, and zero indicating that the element is constrained to zero.

• C_lambda - a $(d(M-1)\times r)$ constraint matrix that satisfies ($\lambda$${}_2$$,...,$ $\lambda$${}_M)=$ $C_{\lambda }\gamma$ where $\gamma$ is the new $(r\times 1)$ parameter subject to which the model is estimated (similarly to AR parameter constraints). The entries of C_lambda must be either positive or zero. Ignore (or set to NULL) if the eigenvalues ${\lambda }_{mi}$ should not be constrained.

• fixed_lambdas - a length $d(M-1)$ numeric vector ($\lambda$${}_2$$,...,$ $\lambda$${}_M)$ with elements strictly larger than zero specifying the fixed parameter values for the parameters ${\lambda }_{mi}$ should be constrained to. This constraint is alternative C_lambda. Ignore (or set to NULL) if the eigenvalues ${\lambda }_{mi}$ should not be constrained.

See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is $W$ times a time-varying diagonal matrix with positive diagonal entries).

Warning

No argument checks!

Details

Intended to be called after calling the function reform_constrained_pars to avoid remove the constraints again in any further function calls as this will create bugs.