subtract lags from narrative restrictions #31

bsvars · Jul 16, 2024 · 3a6f5a4 · 3a6f5a4
1 parent 719c2db
commit 3a6f5a4
Show file tree

Hide file tree

Showing 4 changed files with 9 additions and 7 deletions.
diff --git a/R/estimate.R b/R/estimate.R
@@ -109,10 +109,12 @@ estimate.BSVARSIGN = function(specification, S, thin = 1, show_progress = TRUE)
   Z                   = get_Z(identification$sign_irf)
   sign                = identification$sign_irf
   sign[is.na(sign)]   = 0
+  narrative           = identification$sign_narrative
+  narrative[, 5]      = narrative[, 5] - p
 
   # estimation
   qqq                 = .Call(`_bsvarSIGNs_bsvar_sign_cpp`, S, p, Y, X, 
-                              identification$VB, sign, identification$sign_narrative,
+                              identification$VB, sign, narrative,
                               identification$sign_relation, Z, prior, 
                               starting_values, show_progress, thin, max_tries)
 

diff --git a/R/specify.R b/R/specify.R
@@ -468,7 +468,7 @@ specify_identification_bsvarSIGN = R6::R6Class(
         missing_all = FALSE
       }
       if (missing(sign_narrative)) {
-        sign_narrative = matrix(c(0, 1, 1, 1, 1, 0), ncol = 6, nrow = 1)
+        sign_narrative = matrix(c(0, 1, 1, 1, 1, 1), ncol = 6, nrow = 1)
       } else {
         missing_all = FALSE
       }
@@ -558,7 +558,7 @@ specify_identification_bsvarSIGN = R6::R6Class(
         missing_all = FALSE
       }
       if (missing(sign_narrative)) {
-        sign_narrative = matrix(c(0, 1, 1, 1, 1, 0), ncol = 6, nrow = 1)
+        sign_narrative = matrix(c(0, 1, 1, 1, 1, 1), ncol = 6, nrow = 1)
       } else {
         missing_all = FALSE
       }
@@ -683,7 +683,7 @@ specify_bsvarSIGN = R6::R6Class(
         missing_all = FALSE
       }
       if (missing(sign_narrative)) {
-        sign_narrative = matrix(c(0, 1, 1, 1, 1, 0), ncol = 6, nrow = 1)
+        sign_narrative = matrix(c(0, 1, 1, 1, 1, 1), ncol = 6, nrow = 1)
       } else {
         missing_all = FALSE
       }

diff --git a/src/bsvars_sign.cpp b/src/bsvars_sign.cpp
@@ -146,7 +146,7 @@ Rcpp::List bsvar_sign_cpp(
     posterior_shocks.slice(s) = shocks;
 
     // Check for user interrupts
-    if (s % 200 == 0) checkUserInterrupt();
+    if (s % 1 == 0) checkUserInterrupt();
 
     // Increment progress bar
     if (any(prog_rep_points == s)) bar.increment();

diff --git a/src/restrictions_narrative.cpp b/src/restrictions_narrative.cpp
@@ -79,9 +79,9 @@ double weight_narrative(
     const arma::cube&             irf
 ) {
 
-  const int M         = 1e+04;  // number of draws to approximate normal distribution
+  const int M         = 1e+3;  // number of draws to approximate normal distribution
 
-  double    n_success = 1.0e-15;
+  double    n_success = 1.0e-6;
 
   cube      Z(irf.n_rows, sign_narrative.col(5).max() + 1, M, fill::randn);
   // cube      Z(irf.n_rows, T, M, fill::randn);