some user-friendly things

R/estimate.BSVARSIGN.R → R/estimate.R

@@ -111,9 +111,10 @@ estimate.BSVARSIGN = function(specification, S, thin = 1, show_progress = TRUE)
   sign[is.na(sign)]   = 0
 
   # estimation
-  qqq                 = .Call(`_bsvarSIGNs_bsvar_sign_cpp`, S, p, Y, X, identification$VB, 
-                              sign, identification$sign_narrative, identification$sign_B, Z,
-                              prior, starting_values, show_progress, thin, max_tries)
+  qqq                 = .Call(`_bsvarSIGNs_bsvar_sign_cpp`, S, p, Y, X, 
+                              identification$VB, sign, identification$sign_narrative,
+                              identification$sign_relation, Z, prior, 
+                              starting_values, show_progress, thin, max_tries)
 
   specification$starting_values$set_starting_values(qqq$last_draw)
   output              = specify_posterior_bsvarSIGN$new(specification, qqq$posterior)

R/specify_bsvarSIGN.R → R/specify.R

@@ -72,8 +72,8 @@ verify_narrative = function(N, A) {
 }
 
 # verify all restrictions
-verify_all = function(N, sign_irf, sign_narrative, sign_B) {
-  verify_traditional(N, sign_B)
+verify_all = function(N, sign_irf, sign_narrative, sign_relation) {
+  verify_traditional(N, sign_relation)
 
   verify_narrative(N, sign_narrative)
 
@@ -422,8 +422,8 @@ specify_identification_bsvarSIGN = R6::R6Class(
     sign_irf = array(),
     #' @field sign_narrative a \code{Mx6} matrix of narrative sign restrictions.
     sign_narrative  = matrix(),
-    #' @field sign_B a \code{NxN} matrix of sign restrictions on contemporaneous relations.
-    sign_B   = matrix(),
+    #' @field sign_relation a \code{NxN} matrix of sign restrictions on contemporaneous relations.
+    sign_relation   = matrix(),
     #' @field max_tries a positive integer with the maximum number of iterations 
     #' for finding a rotation matrix \eqn{Q} that would satisfy sign restrictions.
     max_tries = 1,
@@ -452,14 +452,14 @@ specify_identification_bsvarSIGN = R6::R6Class(
     #' Column 6 (horizons_h): an integer in 1:(T-start_t), number horizons of the restriction,
     #' if start=t and horizons=h the restriction in on periods t to t+h,
     #' e.g. when h=0 the restriction in only placed on period t.
-    #' @param sign_B a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
+    #' @param sign_relation a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
     #' contemporaneous relations \code{B} between reduced-form errors \code{E} and
     #' structural shocks \code{U}. Recall the structural equation \code{BE=U}, the inverse
     #' of \code{B} is the contemporaneous impulse response function.
     #' @param max_tries a positive integer with the maximum number of iterations
     #' for finding a rotation matrix \eqn{Q} that would satisfy sign restrictions.
     #' @return Identifying restrictions IdentificationBSVARSIGN.
-    initialize = function(N, sign_irf, sign_narrative, sign_B, max_tries = 1) {
+    initialize = function(N, sign_irf, sign_narrative, sign_relation, max_tries = 1) {
 
       missing_all   = TRUE
       if (missing(sign_irf)) {
@@ -472,18 +472,18 @@ specify_identification_bsvarSIGN = R6::R6Class(
       } else {
         missing_all = FALSE
       }
-      if (missing(sign_B)) {
+      if (missing(sign_relation)) {
         if (missing_all) {
-          sign_B = diag(N)
+          sign_relation = diag(N)
         } else {
-          sign_B = matrix(rep(0, N^2), ncol = N, nrow = N)  
+          sign_relation = matrix(rep(0, N^2), ncol = N, nrow = N)  
         }
       }
 
       if (is.matrix(sign_irf)) {
         sign_irf = array(sign_irf, dim = c(dim(sign_irf), 1))
       }
-      verify_all(N, sign_irf, sign_narrative, sign_B)
+      verify_all(N, sign_irf, sign_narrative, sign_relation)
 
       B     = matrix(FALSE, N, N)
       B[lower.tri(B, diag = TRUE)] = TRUE
@@ -495,7 +495,7 @@ specify_identification_bsvarSIGN = R6::R6Class(
 
       self$sign_irf       = sign_irf
       self$sign_narrative = sign_narrative
-      self$sign_B         = sign_B
+      self$sign_relation         = sign_relation
       self$max_tries      = max_tries
     }, # END initialize
 
@@ -507,7 +507,7 @@ specify_identification_bsvarSIGN = R6::R6Class(
         VB             = as.list(self$VB),
         sign_irf       = as.array(self$sign_irf),
         sign_narrative = as.matrix(self$sign_narrative),
-        sign_B         = as.matrix(self$sign_B),
+        sign_relation         = as.matrix(self$sign_relation),
         max_tries      = self$max_tries
         )
     }, # END get_identification
@@ -536,13 +536,13 @@ specify_identification_bsvarSIGN = R6::R6Class(
     #' Column 6 (horizons_h): an integer in 1:(T-start_t), number horizons of the restriction,
     #' if start=t and horizons=h the restriction in on periods t to t+h,
     #' e.g. when h=0 the restriction in only placed on period t.
-    #' @param sign_B a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
+    #' @param sign_relation a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
     #' contemporaneous relations \code{B} between reduced-form errors \code{E} and
     #' structural shocks \code{U}. Recall the structural equation \code{BE=U}, the inverse
     #' of \code{B} is the contemporaneous impulse response function.
     #' @param max_tries a positive integer with the maximum number of iterations
     #' for finding a rotation matrix \eqn{Q} that would satisfy sign restrictions.
-    set_identification = function(N, sign_irf, sign_narrative, sign_B) {
+    set_identification = function(N, sign_irf, sign_narrative, sign_relation) {
       B     = matrix(FALSE, N, N)
       B[lower.tri(B, diag = TRUE)] = TRUE
 
@@ -562,22 +562,22 @@ specify_identification_bsvarSIGN = R6::R6Class(
       } else {
         missing_all = FALSE
       }
-      if (missing(sign_B)) {
+      if (missing(sign_relation)) {
         if (missing_all) {
-          sign_B = diag(N)
+          sign_relation = diag(N)
         } else {
-          sign_B = matrix(rep(0, N^2), ncol = N, nrow = N)  
+          sign_relation = matrix(rep(0, N^2), ncol = N, nrow = N)  
         }
       }
 
       if (is.matrix(sign_irf)) {
         sign_irf = array(sign_irf, dim = c(dim(sign_irf), 1))
       }
-      verify_all(N, sign_irf, sign_narrative, sign_B)
+      verify_all(N, sign_irf, sign_narrative, sign_relation)
 
       self$sign_irf       = sign_irf
       self$sign_narrative = sign_narrative
-      self$sign_B         = sign_B
+      self$sign_relation         = sign_relation
     } # END set_identification
   ) # END public
 ) # END specify_identification_bsvarSIGN
@@ -644,7 +644,7 @@ specify_bsvarSIGN = R6::R6Class(
     #' Column 6 (horizons_h): an integer in 1:(T-start_t), number horizons of the restriction,
     #' if start=t and horizons=h the restriction in on periods t to t+h,
     #' e.g. when h=0 the restriction in only placed on period t.
-    #' @param sign_B a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
+    #' @param sign_relation a \code{NxN} matrix with entries in (-1 ,0, 1), sign restrictions on the
     #' contemporaneous relations \code{B} between reduced-form errors \code{E} and
     #' structural shocks \code{U}. Recall the structural equation \code{BE=U}, the inverse
     #' of \code{B} is the contemporaneous impulse response function.
@@ -660,7 +660,7 @@ specify_bsvarSIGN = R6::R6Class(
     p = 1L,
     sign_irf,
     sign_narrative,
-    sign_B,
+    sign_relation,
     max_tries = 1,
     exogenous = NULL,
     stationary = rep(FALSE, ncol(data))
@@ -687,18 +687,18 @@ specify_bsvarSIGN = R6::R6Class(
       } else {
         missing_all = FALSE
       }
-      if (missing(sign_B)) {
+      if (missing(sign_relation)) {
         if (missing_all) {
-          sign_B = diag(N)
+          sign_relation = diag(N)
         } else {
-          sign_B = matrix(rep(0, N^2), ncol = N, nrow = N)  
+          sign_relation = matrix(rep(0, N^2), ncol = N, nrow = N)  
         }
       }
 
       if (is.matrix(sign_irf)) {
         sign_irf = array(sign_irf, dim = c(dim(sign_irf), 1))
       }
-      verify_all(N, sign_irf, sign_narrative, sign_B)
+      verify_all(N, sign_irf, sign_narrative, sign_relation)
 
       B                            = matrix(FALSE, N, N)
       B[lower.tri(B, diag = TRUE)] = TRUE
@@ -707,7 +707,7 @@ specify_bsvarSIGN = R6::R6Class(
       self$identification          = specify_identification_bsvarSIGN$new(N,
                                                                           sign_irf,
                                                                           sign_narrative,
-                                                                          sign_B,
+                                                                          sign_relation,
                                                                           max_tries)
       self$prior                   = specify_prior_bsvarSIGN$new(data, p, exogenous,
                                                                  stationary)

src/bsvars_sign.cpp

@@ -47,7 +47,7 @@ Rcpp::List bsvar_sign_cpp(
   if (show_progress) {
     Rcout << "**************************************************|" << endl;
     Rcout << " bsvarSIGNs: Bayesian Structural VAR with zero,   |" << endl;
-    Rcout << "              sign and narrative restriction      |" << endl;
+    Rcout << "              sign and narrative restrictions     |" << endl;
     Rcout << "**************************************************|" << endl;
     // Rcout << " Gibbs sampler for the SVAR model                 |" << endl;
     // Rcout << "**************************************************|" << endl;

src/sample_hyper.cpp

@@ -275,6 +275,10 @@ arma::mat sample_hyper(
     const Rcpp::List& prior
 ) {
 
+  Rcout << "**************************************************|" << endl;
+  Rcout << " Adaptive Metropolis MCMC: hyper parameters       |" << endl;
+  Rcout << "**************************************************|" << endl;
+
   mat hypers = metropolis(
 
     S, start, narrow_hyper(model, init), W,