specify_data_matrices function

R6 Class Representing DataMatricesBSVAR

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

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()

Public fields

• Y: an NxT matrix of dependent variables, $Y$.

• X: an KxT matrix of regressors, $X$.

Methods

Public methods

• list("specify_data_matrices$new()")

• list("specify_data_matrices$get_data_matrices()")

• list("specify_data_matrices$clone()")

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.

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()

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.