bsvarSIGNs (version 2.0)

specify_narrative: vector specifying one narrative restriction

Description

The class narrative specifies a single narrative restriction.

Usage

specify_narrative(
  start,
  periods = 1,
  type = "S",
  sign = 1,
  shock = 1,
  var = NA
)

Value

An object of class narrative specifying one narrative restriction.

Arguments

start

positive integer - the period in which the narrative starts (greater than the number of lags).

periods

positive integer - the number of periods the narrative restriction lasts.

type

character - the type of the narrative restriction (one of "S", "A", "B"), where: "S" for restrictions on structural shocks; "A" for type A restrictions on historical decomposition, i.e. if the absolute value of the historical decomposition of shock to var is the greatest/least among all shocks; "B" for type B restrictions on historical decomposition, i.e. if the absolute value of the historical decomposition of shock to var is the greater/less than the sum of all other shocks.

sign

integer - the sign of the narrative restriction (1 or -1).

shock

positive integer - the index of the shock to which the narrative restriction applies.

var

positive integer - the index of the variable to which the narrative restriction applies.

Examples

# specify a narrative restriction
narrative       = specify_narrative(
                    start = 166, 
                    periods = 1, 
                    type = "S", 
                    sign = 1, 
                    shock = 1, 
                    var = 6
                  )
# use it to specify the model
specification   = specify_bsvarSIGN$new(monetary, sign_narrative = list(narrative))