set identification via sign restrictions
set_identification_sign(restrictions)
| restrictions | the sign restrictions |
|---|
returns an S3 object of the class sign
This functions creates an object of the class sign needed for the identification of structural shocks. Identification of structural shocks is needed for further analytic steps such as studying Impulse-Responses or Historical Decomposition. Necessary input is a KxK-matrix with the sign restrictions, i.e. a positive or negative number. And K is the number of variables in the VAR-model. Sign-Restriction is implemented using the Algorithm proposed by Rubio-Ramirez et al. (2010).
Juan F. Rubio-Ramirez, Daniel F. Waggoner and Tao Zha, 2010, Structural Vector Autoregressions: Theory of Identification and Algorithms for inference, Review of Economic Studies 77(2),665-696