svarControlCreate#

Purpose#

Create an svarControl structure with default values for sign-restricted SVAR identification.

Format#

ctl = svarControlCreate()#

Returns:

ctl (struct) –

An instance of an svarControl structure with the following default values:

ctl.sign_restr

Nx4 matrix, sign restrictions on impulse responses. Each row specifies one restriction with columns:

1	Variable index (1 to m) — the responding variable.
2	Shock index (1 to m) — the structural shock.
3	Horizon (0 = impact, 1 = one step ahead, etc.).
4	Sign: 1 for positive response, -1 for negative response.

ctl.zero_restr

Nx3 matrix, zero restrictions. Reserved for future ARW2018 implementation. Currently raises an error if populated. Columns: variable, shock, horizon.

ctl.max_tries

Scalar, maximum rotation attempts per posterior draw. Default = 10000.

ctl.min_accept_rate

Scalar, minimum acceptable fraction of draws yielding a valid rotation. An error is raised if the rate falls below this threshold. Default = 0.01.

ctl.n_ahead

Scalar, number of IRF horizons. Default = 20.

ctl.seed

Scalar, RNG seed for reproducibility. Default = 42.

ctl.quiet

Scalar, set to 1 to suppress printed output. Default = 0.

Examples#

new;
library timeseries;

ctl = svarControlCreate();

// Define sign restrictions: [variable, shock, horizon, sign]
// Monetary shock (shock 3): FFR up, GDP down, CPI down
ctl.sign_restr = { 3 3 0  1,
                   1 3 0 -1,
                   2 3 0 -1 };

// Increase max attempts for tight restrictions
ctl.max_tries = 50000;
ctl.n_ahead = 24;

Remarks#

The sign_restr and zero_restr fields are empty by default. At least one sign restriction must be set before calling svarIdentify() or svarIrf().

Library#

timeseries

Source#

svar.src