
R6 Class representing the specification of the BVARGROUPPANEL model
Source:R/specify_bvargrouppanel.R
specify_bvarGroupPANEL.Rd
The class BVARGROUPPANEL presents complete specification for the Bayesian Panel
Vector Autoregression with county groups. The groups can be pre-specified,
which requires the argument group_allocation
to be provided, or estimated,
which requires the argument G
for the number of groups to be provided
and the argument group_allocation
to be left empty.
Public fields
p
a non-negative integer specifying the autoregressive lag order of the model.
G
a non-negative integer specifying the number of country groupings.
estimate_groups
a logical value denoting whether the groups are to be estimated.
prior
an object PriorBSVAR with the prior specification.
data_matrices
an object DataMatricesBVARPANEL with the data matrices.
starting_values
an object StartingValuesBVARGROUPPANEL with the starting values.
adaptiveMH
a vector of four values setting the adaptive MH sampler for nu: adaptive rate, target acceptance rate, the iteration at which to start adapting, the initial scaling rate
Methods
Method new()
Create a new specification of the Bayesian Panel VAR model with country
grouping BVARGROUPPANEL. The groups can be pre-specified,
which requires the argument group_allocation
to be provided, or estimated,
which requires the argument G
for the number of groups to be provided
and the argument group_allocation
to be left empty.
Usage
specify_bvarGroupPANEL$new(
data,
p = 1L,
exogenous = NULL,
stationary = rep(FALSE, ncol(data[[1]])),
type = rep("real", ncol(data[[1]])),
G = NULL,
group_allocation = NULL
)
Arguments
data
a list with
C
elements of(T_c+p)xN
matrices with time series data.p
a positive integer providing model's autoregressive lag order.
exogenous
a
(T+p)xd
matrix of exogenous variables.stationary
an
N
logical vector - its element set toFALSE
sets the prior mean for the autoregressive parameters of theN
th equation to the white noise process, otherwise to random walk.type
an
N
character vector with elements set to "rate" or "real" determining the truncation of the predictive density to[0, 100]
and(-Inf, Inf)
(no truncation) for each of the variables.G
a positive integer specifying the number of country groups. Its specification is required if
group_allocation
is not provided and the country groups to be estimated.group_allocation
an argument that can be provided as a numeric vector with integer numbers denoting group allocations to pre-specify the the country groups, in which case they are not estimated, or left empty if the country groups are to be estimated.
Examples
data(ilo_dynamic_panel)
spec = specify_bvarGroupPANEL$new(
data = ilo_dynamic_panel,
p = 4,
G = 2
)
#> Country groupings will be estimated.