add_shockinfo

Dataframe to append shocks. If <code>shockinfo=NULL</code> appropriate dataframe for sign-restrictions will be created.

shockinfo

String element. Variable of interest for structural shock. Only possible to add restrictions to one structural shock at a time.

shock

Character vector with variables that are supposed to be sign restricted.

restriction

sign

Numeric vector with horizons to which restriction should hold. Set <code>horizon.fillup</code> to <code>FALSE</code> to just restrict one specific horizon.

horizon

Number between zero and one determining the probability with which restriction is supposed to hold.

prob

scale

If set to <code>TRUE</code>, shock is defined as global shock.

global

Default set to <code>TRUE</code>, horizon specified up to given horizon. Otherwise just one specific horizon is restricted.

horizon.fillup

Adds automatically rows to 'shockinfo' data.frame for appropriate use in <code>irf</code>.

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available.

add_shockinfo: Adding shocks to 'shockinfo' argument

Description

Usage

Arguments

Details

See Also