| SVEC {vars} | R Documentation |
Estimates an SVEC by utilising a scoring algorithm.
SVEC(x, LR = NULL, SR = NULL, r = 1, start = NULL, max.iter = 100,
conv.crit = 1e-07, maxls = 1.0, lrtest = TRUE, boot = FALSE, runs = 100)
## S3 method for class 'svecest'
print(x, digits = max(3, getOption("digits") - 3), ...)
x |
Object of class ‘ |
LR |
Matrix of the restricted long run impact matrix. |
SR |
Matrix of the restricted contemporaneous impact matrix. |
r |
Integer, the cointegration rank of x. |
start |
Vector of starting values for γ. |
max.iter |
Integer, maximum number of iteration. |
conv.crit |
Real, convergence value of algorithm.. |
maxls |
Real, maximum movement of the parameters between two iterations of the scoring algorithm. |
lrtest |
Logical, over-identification LR test, the result is set
to |
boot |
Logical, if |
runs |
Integer, number of bootstrap replications. |
digits |
the number of significant digits to use when printing. |
... |
further arguments passed to or from other methods. |
Consider the following reduced form of a k-dimensional vector error correction model:
A Δ \bold{y}_t = Π \bold{y}_{t-1} + Γ_1 Δ \bold{y}_{t-1} + … + Γ_p Δ \bold{y}_{t-p + 1} + \bold{u}_t \quad .
This VECM has the following MA representation:
\bold{y}_t = Ξ ∑_{i=1}^t \bold{u}_i + Ξ^*(L)\bold{u}_t + \bold{y}_0^* \quad ,
with Ξ = β_{\perp} (α_{\perp}'(I_K -
∑_{i=1}^{p-1}Γ_i)β_{\perp} )^{-1}α_{\perp}' and
Ξ^*(L) signifies an infinite-order polynomial in the lag
operator with coefficient matrices Ξ^*_j that tends to zero
with increasing size of j.
Contemporaneous restrictions on the impact matrix B must be
supplied as zero entries in SR and free parameters as NA
entries. Restrictions on the long run impact matrix Ξ B have
to be supplied likewise. The unknown parameters are estimated by
maximising the concentrated log-likelihood subject to the imposed
restrictions by utilising a scoring algorithm on:
\ln L_c(A, B) = - \frac{KT}{2}\ln(2π) + \frac{T}{2}\ln|A|^2 - \frac{T}{2}\ln|B|^2 - \frac{T}{2}tr(A'B'^{-1}B^{-1}A\tilde{Σ}_u)
with \tilde{Σ}_u signifies the reduced form variance-covariance matrix and A is set equal to the identity matrix I_K.
If ‘start’ is not set, then normal random numbers are used as
starting values for the unknown coefficients. In case of an
overidentified SVEC, a likelihood ratio statistic is computed according to:
LR = T(\ln\det(\tilde{Σ}_u^r) - \ln\det(\tilde{Σ}_u)) \quad ,
with \tilde{Σ}_u^r being the restricted variance-covariance matrix and \tilde{Σ}_u being the variance covariance matrix of the reduced form residuals. The test statistic is distributed as χ^2(K*(K+1)/2 - nr), where nr is equal to the number of restrictions.
A list of class ‘svecest’ with the following elements is
returned:
SR |
The estimated contemporaneous impact matrix. |
SRse |
The standard errors of the contemporaneous impact matrix,
if |
LR |
The estimated long run impact matrix. |
LRse |
The standard errors of the long run impact matrix,
if |
Sigma.U |
The variance-covariance matrix of the reduced form residuals times 100, i.e., Σ_U = A^{-1}BB'A^{-1'} \times 100. |
Restrictions |
Vector, containing the ranks of the restricted long run and contemporaneous impact matrices. |
LRover |
Object of class ‘ |
start |
Vector of used starting values. |
type |
Character, type of the SVEC-model. |
var |
The ‘ |
LRorig |
The supplied long run impact matrix. |
SRorig |
The supplied contemporaneous impact matrix. |
r |
Integer, the supplied cointegration rank. |
iter |
Integer, the count of iterations. |
call |
The |
Bernhard Pfaff
Amisano, G. and C. Giannini (1997), Topics in Structural VAR Econometrics, 2nd edition, Springer, Berlin.
Breitung, J., R. Brüggemann and H. Lütkepohl (2004), Structural vector autoregressive modeling and impulse responses, in H. Lütkepohl and M. Krätzig (editors), Applied Time Series Econometrics, Cambridge University Press, Cambridge.
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
data(Canada)
vecm <- ca.jo(Canada[, c("prod", "e", "U", "rw")], type = "trace", ecdet = "trend", K = 3, spec = "transitory")
SR <- matrix(NA, nrow = 4, ncol = 4)
SR[4, 2] <- 0
SR
LR <- matrix(NA, nrow = 4, ncol = 4)
LR[1, 2:4] <- 0
LR[2:4, 4] <- 0
LR
SVEC(vecm, LR = LR, SR = SR, r = 1, lrtest = FALSE, boot = FALSE)