The recently introduced function to compute historical decompositions is a bit lazy – it always defaults to identification via Cholesky (thanks to Rapolas for pointing this out). This should be an easy extension – for sign-restrictions something like this should work:
hist_decomp_sr <- function(x, type = c("mean", "quantile"), sign_restr, ...) {
type <- match.arg(type)
# Compare this to the IRF function:
shock <- matrix(0, x[["meta"]][["K"]] - 1, x[["meta"]][["M"]])
shock[seq(x[["meta"]][["M"]]), ] <- t(chol(vcov(x, type = type)))
# Now we need an extra step for the sign restriction:
shock[seq(x[["meta"]][["M"]]), ] <- BVAR:::sign_restr(
sigma_chol = shock, sign_restr = sign_restr, M = x[["meta"]][["M"]])
# (BVAR::: is needed to access the internal function)
# And proceed as before:
comp <- companion(x, type = type)
eps <- solve(shock[seq(x[["meta"]][["M"]]), ], t(residuals(x, type = type)))
# This will also be an internal function
out <- BVAR:::compute_hd(x, shock, comp, eps)
return(out)
}
Of course, the actual API should include this as an option instead of exposing another function.
The recently introduced function to compute historical decompositions is a bit lazy – it always defaults to identification via Cholesky (thanks to Rapolas for pointing this out). This should be an easy extension – for sign-restrictions something like this should work:
Of course, the actual API should include this as an option instead of exposing another function.
bvar/R/70_hist_decomp.R
Line 30 in 6919c2f