restmtx {MSBVAR} | R Documentation |
Generates the restriction matrix for a set of hard condition
forecasts. See hc.forecast
for details.
restmtx(nsteps, m)
nsteps |
Number of periods in the forecast horizon |
m |
Number of endogenous variables in the VAR. |
Builds the appropriately dimensioned and filled restriction matrix of zeros and ones for hard condition forecasting.
A matrix of dimensions (nsteps x m*nsteps) that can be used to
represent the restrictions in hard condition forecasting using
hc.forecast
Patrick T. Brandt
Waggoner, Daniel F. and Tao Zha. 1999. "Conditional Forecasts in Dynamic Multivariate Models" Review of Economics and Statistics, 81(4):639-651.