specify_bsvar_sv function

R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.

The class BSVARSV presents complete specification for the BSVAR model with Stochastic Volatility heteroskedasticity.

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)

## ------------------------------------------------
## Method `specify_bsvar_sv$get_data_matrices`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_data_matrices()

## ------------------------------------------------
## Method `specify_bsvar_sv$get_identification`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_identification()

## ------------------------------------------------
## Method `specify_bsvar_sv$get_prior`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_prior()

## ------------------------------------------------
## Method `specify_bsvar_sv$get_starting_values`
## ------------------------------------------------

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_starting_values()

See Also

estimate, specify_posterior_bsvar_sv

Public fields

• p: a non-negative integer specifying the autoregressive lag order of the model.

• identification: an object IdentificationBSVARs with the identifying restrictions.

• prior: an object PriorBSVARSV with the prior specification.

• data_matrices: an object DataMatricesBSVAR with the data matrices.

• starting_values: an object StartingValuesBSVARSV with the starting values.

• centred_sv: a logical value - if true a centred parameterisation of the Stochastic Volatility process is estimated. Otherwise, its non-centred parameterisation is estimated. See Lütkepohl, Shang, Uzeda, Woźniak (2022) for more info.

Methods

Public methods

• list("specify_bsvar_sv$new()")

• list("specify_bsvar_sv$get_data_matrices()")

• list("specify_bsvar_sv$get_identification()")

• list("specify_bsvar_sv$get_prior()")

• list("specify_bsvar_sv$get_starting_values()")

• list("specify_bsvar_sv$clone()")

Method new()

Create a new specification of the BSVAR model with Stochastic Volatility heteroskedasticity, BSVARSV.

Usage

specify_bsvar_sv$new(
  data,
  p = 1L,
  B,
  exogenous = NULL,
  centred_sv = FALSE,
  stationary = rep(FALSE, ncol(data))
)

Arguments

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

• p: a positive integer providing model's autoregressive lag order.

• B: a logical NxN matrix containing value TRUE for the elements of the structural matrix $B$ to be estimated and value FALSE for exclusion restrictions to be set to zero.

• exogenous: a (T+p)xd matrix of exogenous variables.

• centred_sv: a logical value. If FALSE a non-centred Stochastic Volatility processes for conditional variances are estimated. Otherwise, a centred process is estimated.

• stationary: an N logical vector - its element set to FALSE sets the prior mean for the autoregressive parameters of the Nth equation to the white noise process, otherwise to random walk.

Returns

A new complete specification for the bsvar model with Stochastic Volatility heteroskedasticity, BSVARSV.

Method get_data_matrices()

Returns the data matrices as the DataMatricesBSVAR object.

Usage

specify_bsvar_sv$get_data_matrices()

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_data_matrices()

Method get_identification()

Returns the identifying restrictions as the IdentificationBSVARs object.

Usage

specify_bsvar_sv$get_identification()

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_identification()

Method get_prior()

Returns the prior specification as the PriorBSVARSV object.

Usage

specify_bsvar_sv$get_prior()

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_prior()

Method get_starting_values()

Returns the starting values as the StartingValuesBSVARSV object.

Usage

specify_bsvar_sv$get_starting_values()

Examples

data(us_fiscal_lsuw)
spec = specify_bsvar_sv$new(
   data = us_fiscal_lsuw,
   p = 4
)
spec$get_starting_values()

Method clone()

The objects of this class are cloneable with this method.

Usage

specify_bsvar_sv$clone(deep = FALSE)

Arguments

• deep: Whether to make a deep clone.