restmtx {MSBVAR}R Documentation

Utility function for generating the restriction matrix for hard condition forecasting

Description

Generates the restriction matrix for a set of hard condition forecasts. See hc.forecast for details.

Usage

restmtx(nsteps, m)

Arguments

nsteps Number of periods in the forecast horizon
m Number of endogenous variables in the VAR.

Details

Builds the appropriately dimensioned and filled restriction matrix of zeros and ones for hard condition forecasting.

Value

A matrix of dimensions (nsteps x m*nsteps) that can be used to represent the restrictions in hard condition forecasting using hc.forecast

Author(s)

Patrick T. Brandt

References

Waggoner, Daniel F. and Tao Zha. 1999. "Conditional Forecasts in Dynamic Multivariate Models" Review of Economics and Statistics, 81(4):639-651.

See Also

hc.forecast


[Package MSBVAR version 0.3.2 Index]