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index-speaker.html
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<!DOCTYPE html>
<html lang="en"><head>
<script src="index_files/libs/clipboard/clipboard.min.js"></script>
<script src="index_files/libs/quarto-html/tabby.min.js"></script>
<script src="index_files/libs/quarto-html/popper.min.js"></script>
<script src="index_files/libs/quarto-html/tippy.umd.min.js"></script>
<link href="index_files/libs/quarto-html/tippy.css" rel="stylesheet">
<link href="index_files/libs/quarto-html/light-border.css" rel="stylesheet">
<link href="index_files/libs/quarto-html/quarto-html.min.css" rel="stylesheet" data-mode="light">
<link href="index_files/libs/quarto-html/quarto-syntax-highlighting.css" rel="stylesheet" id="quarto-text-highlighting-styles"><meta charset="utf-8">
<meta name="generator" content="quarto-1.3.361">
<meta name="author" content="by Tomasz Woźniak">
<title>index</title>
<meta name="apple-mobile-web-app-capable" content="yes">
<meta name="apple-mobile-web-app-status-bar-style" content="black-translucent">
<meta name="viewport" content="width=device-width, initial-scale=1.0, maximum-scale=1.0, user-scalable=no, minimal-ui">
<link rel="stylesheet" href="index_files/libs/revealjs/dist/reset.css">
<link rel="stylesheet" href="index_files/libs/revealjs/dist/reveal.css">
<style>
code{white-space: pre-wrap;}
span.smallcaps{font-variant: small-caps;}
div.columns{display: flex; gap: min(4vw, 1.5em);}
div.column{flex: auto; overflow-x: auto;}
div.hanging-indent{margin-left: 1.5em; text-indent: -1.5em;}
ul.task-list{list-style: none;}
ul.task-list li input[type="checkbox"] {
width: 0.8em;
margin: 0 0.8em 0.2em -1em; /* quarto-specific, see https://github.com/quarto-dev/quarto-cli/issues/4556 */
vertical-align: middle;
}
/* CSS for syntax highlighting */
pre > code.sourceCode { white-space: pre; position: relative; }
pre > code.sourceCode > span { display: inline-block; line-height: 1.25; }
pre > code.sourceCode > span:empty { height: 1.2em; }
.sourceCode { overflow: visible; }
code.sourceCode > span { color: inherit; text-decoration: inherit; }
div.sourceCode { margin: 1em 0; }
pre.sourceCode { margin: 0; }
@media screen {
div.sourceCode { overflow: auto; }
}
@media print {
pre > code.sourceCode { white-space: pre-wrap; }
pre > code.sourceCode > span { text-indent: -5em; padding-left: 5em; }
}
pre.numberSource code
{ counter-reset: source-line 0; }
pre.numberSource code > span
{ position: relative; left: -4em; counter-increment: source-line; }
pre.numberSource code > span > a:first-child::before
{ content: counter(source-line);
position: relative; left: -1em; text-align: right; vertical-align: baseline;
border: none; display: inline-block;
-webkit-touch-callout: none; -webkit-user-select: none;
-khtml-user-select: none; -moz-user-select: none;
-ms-user-select: none; user-select: none;
padding: 0 4px; width: 4em;
color: #aaaaaa;
}
pre.numberSource { margin-left: 3em; border-left: 1px solid #aaaaaa; padding-left: 4px; }
div.sourceCode
{ color: #003b4f; background-color: #f1f3f5; }
@media screen {
pre > code.sourceCode > span > a:first-child::before { text-decoration: underline; }
}
code span { color: #003b4f; } /* Normal */
code span.al { color: #ad0000; } /* Alert */
code span.an { color: #5e5e5e; } /* Annotation */
code span.at { color: #657422; } /* Attribute */
code span.bn { color: #ad0000; } /* BaseN */
code span.bu { } /* BuiltIn */
code span.cf { color: #003b4f; } /* ControlFlow */
code span.ch { color: #20794d; } /* Char */
code span.cn { color: #8f5902; } /* Constant */
code span.co { color: #5e5e5e; } /* Comment */
code span.cv { color: #5e5e5e; font-style: italic; } /* CommentVar */
code span.do { color: #5e5e5e; font-style: italic; } /* Documentation */
code span.dt { color: #ad0000; } /* DataType */
code span.dv { color: #ad0000; } /* DecVal */
code span.er { color: #ad0000; } /* Error */
code span.ex { } /* Extension */
code span.fl { color: #ad0000; } /* Float */
code span.fu { color: #4758ab; } /* Function */
code span.im { color: #00769e; } /* Import */
code span.in { color: #5e5e5e; } /* Information */
code span.kw { color: #003b4f; } /* Keyword */
code span.op { color: #5e5e5e; } /* Operator */
code span.ot { color: #003b4f; } /* Other */
code span.pp { color: #ad0000; } /* Preprocessor */
code span.sc { color: #5e5e5e; } /* SpecialChar */
code span.ss { color: #20794d; } /* SpecialString */
code span.st { color: #20794d; } /* String */
code span.va { color: #111111; } /* Variable */
code span.vs { color: #20794d; } /* VerbatimString */
code span.wa { color: #5e5e5e; font-style: italic; } /* Warning */
</style>
<link rel="stylesheet" href="index_files/libs/revealjs/dist/theme/quarto.css">
<link href="index_files/libs/revealjs/plugin/quarto-line-highlight/line-highlight.css" rel="stylesheet">
<link href="index_files/libs/revealjs/plugin/reveal-menu/menu.css" rel="stylesheet">
<link href="index_files/libs/revealjs/plugin/reveal-menu/quarto-menu.css" rel="stylesheet">
<link href="index_files/libs/revealjs/plugin/quarto-support/footer.css" rel="stylesheet">
<style type="text/css">
.callout {
margin-top: 1em;
margin-bottom: 1em;
border-radius: .25rem;
}
.callout.callout-style-simple {
padding: 0em 0.5em;
border-left: solid #acacac .3rem;
border-right: solid 1px silver;
border-top: solid 1px silver;
border-bottom: solid 1px silver;
display: flex;
}
.callout.callout-style-default {
border-left: solid #acacac .3rem;
border-right: solid 1px silver;
border-top: solid 1px silver;
border-bottom: solid 1px silver;
}
.callout .callout-body-container {
flex-grow: 1;
}
.callout.callout-style-simple .callout-body {
font-size: 1rem;
font-weight: 400;
}
.callout.callout-style-default .callout-body {
font-size: 0.9rem;
font-weight: 400;
}
.callout.callout-titled.callout-style-simple .callout-body {
margin-top: 0.2em;
}
.callout:not(.callout-titled) .callout-body {
display: flex;
}
.callout:not(.no-icon).callout-titled.callout-style-simple .callout-content {
padding-left: 1.6em;
}
.callout.callout-titled .callout-header {
padding-top: 0.2em;
margin-bottom: -0.2em;
}
.callout.callout-titled .callout-title p {
margin-top: 0.5em;
margin-bottom: 0.5em;
}
.callout.callout-titled.callout-style-simple .callout-content p {
margin-top: 0;
}
.callout.callout-titled.callout-style-default .callout-content p {
margin-top: 0.7em;
}
.callout.callout-style-simple div.callout-title {
border-bottom: none;
font-size: .9rem;
font-weight: 600;
opacity: 75%;
}
.callout.callout-style-default div.callout-title {
border-bottom: none;
font-weight: 600;
opacity: 85%;
font-size: 0.9rem;
padding-left: 0.5em;
padding-right: 0.5em;
}
.callout.callout-style-default div.callout-content {
padding-left: 0.5em;
padding-right: 0.5em;
}
.callout.callout-style-simple .callout-icon::before {
height: 1rem;
width: 1rem;
display: inline-block;
content: "";
background-repeat: no-repeat;
background-size: 1rem 1rem;
}
.callout.callout-style-default .callout-icon::before {
height: 0.9rem;
width: 0.9rem;
display: inline-block;
content: "";
background-repeat: no-repeat;
background-size: 0.9rem 0.9rem;
}
.callout-title {
display: flex
}
.callout-icon::before {
margin-top: 1rem;
padding-right: .5rem;
}
.callout.no-icon::before {
display: none !important;
}
.callout.callout-titled .callout-body > .callout-content > :last-child {
margin-bottom: 0.5rem;
}
.callout.callout-titled .callout-icon::before {
margin-top: .5rem;
padding-right: .5rem;
}
.callout:not(.callout-titled) .callout-icon::before {
margin-top: 1rem;
padding-right: .5rem;
}
/* Callout Types */
div.callout-note {
border-left-color: #4582ec !important;
}
div.callout-note .callout-icon::before {
background-image: url('data:image/png;base64,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');
}
div.callout-note.callout-style-default .callout-title {
background-color: #dae6fb
}
div.callout-important {
border-left-color: #d9534f !important;
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<div class="reveal">
<div class="slides">
<section id="section" class="slide level2" data-background-color="#ededed">
<h2></h2>
<p><img data-src="bsvars.org.png" class="absolute" style="top: 80px; right: 725px; width: 400px; "> <img data-src="bsvars.png" class="absolute" style="top: 80px; right: 325px; width: 400px; "> <img data-src="bsvarSIGNs.png" class="absolute" style="top: 80px; right: -75px; width: 400px; "></p>
</section>
<section id="analizy-strukturalne-z-paczkami-bsvars-i-bsvarsigns-dla-r" class="slide level2" style="color:#ff68b4;">
<h2>Analizy strukturalne z paczkami bsvars i bsvarSIGNs dla R</h2>
<p><span class="math display">\[ \]</span></p>
<h3 style="color:#ff68b4;" id="cechy-paczek-bsvars-i-bsvarsigns">cechy paczek bsvars i bsvarSIGNs</h3>
<h3 style="color:#ff68b4;" id="strukturalne-modele-var">strukturalne modele VAR</h3>
<h3 style="color:#ff68b4;" id="identyfikacja-modeli-strukturalnych">identyfikacja modeli strukturalnych</h3>
<h3 style="color:#ff68b4;" id="modelowanie-rozkładu-i-zmienności">modelowanie rozkładu i zmienności</h3>
<h3 style="color:#ff68b4;" id="skrypty-dla-analiz-strukturalnych">skrypty dla analiz strukturalnych</h3>
</section>
<section id="materiały" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">materiały</span></h2>
<p><span class="math display">\[ \]</span></p>
<h3 style="color:#ff68b4;" id="slajdy-jako-strona-internetowa">slajdy jako <a href="https://bsvars.org/2024-12-uwwne/">strona internetowa</a></h3>
<h3 style="color:#ff68b4;" id="repozytorium-na-github-dla-reprodukcji-wyników"><a href="https://github.com/bsvars/2024-12-uwwne">repozytorium</a> na GitHub dla reprodukcji wyników</h3>
<h3 style="color:#ff68b4;" id="skrypty-dla-reprodukcji-wyników"><a href="https://github.com/bsvars/2024-12-uek/blob/master/bsvars_oz.R">skrypty</a> dla reprodukcji wyników</h3>
<p><span class="math display">\[ \]</span></p>
<h3 style="color:#ff68b4;" id="bsvars.org-officjalna-strona"><a href="https://bsvars.org/">bsvars.org</a> officjalna strona</h3>
<h3 style="color:#ff68b4;" id="paczka-bsvars-na-stronach-cran">paczka <a href="https://cran.r-project.org/package=bsvars">bsvars</a> na stronach CRAN</h3>
<h3 style="color:#ff68b4;" id="paczka-bsvarsigns-na-stronach-cran">paczka <a href="https://cran.r-project.org/package=bsvarSIGNs">bsvarSIGNs</a> na stronach CRAN</h3>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-1" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-2" class="slide level2">
<h2>cechy paczek bsvars i bsvarSIGNs</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars_cran.png" class="absolute" style="top: 100px; width: 530px; "></p>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs_cran.png" class="absolute" style="top: 100px; width: 530px; "></p>
</div>
</div>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-3" class="slide level2">
<h2>cechy paczek bsvars i bsvarSIGNs</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<p><span class="math display">\[ \]</span></p>
<ul>
<li>bayesowska estymacja modeli strukturalnych VAR</li>
<li>koherentna struktura kodu, skryptów i objektów</li>
<li>świetna szybkość obliczeniowa</li>
<li>najnowsze metody ekonometryczne i numeryczne</li>
<li>napisane w <strong>C++</strong> dzięki paczkom <strong>Rcpp</strong> i <strong>RcppArmadillo</strong></li>
<li>analiza danych w <strong>R</strong></li>
</ul>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-4" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>ładowanie paczki i danych</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb1"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb1-1"><a href="#cb1-1"></a><span class="fu">library</span>(bsvars)</span>
<span id="cb1-2"><a href="#cb1-2"></a><span class="fu">data</span>(us_fiscal_lsuw)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>łatwa inicjalizacja modelu</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb2"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb2-1"><a href="#cb2-1"></a>spec <span class="ot">=</span> specify_bsvar<span class="sc">$</span><span class="fu">new</span>(us_fiscal_lsuw)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>prosta estymacja</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb3"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb3-1"><a href="#cb3-1"></a>burn <span class="ot">=</span> <span class="fu">estimate</span>(spec, <span class="at">S =</span> <span class="dv">1000</span>)</span>
<span id="cb3-2"><a href="#cb3-2"></a>post <span class="ot">=</span> <span class="fu">estimate</span>(burn, <span class="at">S =</span> <span class="dv">10000</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>ładowanie paczki i danych</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb4"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb4-1"><a href="#cb4-1"></a><span class="fu">library</span>(bsvarSIGNs)</span>
<span id="cb4-2"><a href="#cb4-2"></a><span class="fu">data</span>(optimism)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>łatwa inicjalizacja modelu</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb5"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb5-1"><a href="#cb5-1"></a>spec <span class="ot">=</span> specify_bsvarSIGN<span class="sc">$</span><span class="fu">new</span>(optimism)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>prosta estymacja</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb6"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb6-1"><a href="#cb6-1"></a>post <span class="ot">=</span> <span class="fu">estimate</span>(spec, <span class="at">S =</span> <span class="dv">10000</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div>
</div>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-5" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>analizy strukturalne</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb7"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb7-1"><a href="#cb7-1"></a>irfs <span class="ot">=</span> <span class="fu">compute_impulse_responses</span>(post , <span class="at">horizon =</span> <span class="dv">12</span>)</span>
<span id="cb7-2"><a href="#cb7-2"></a>fevd <span class="ot">=</span> <span class="fu">compute_variance_decompositions</span>(post, <span class="at">horizon =</span> <span class="dv">12</span>)</span>
<span id="cb7-3"><a href="#cb7-3"></a>hds <span class="ot">=</span> <span class="fu">compute_historical_decompositions</span>(post)</span>
<span id="cb7-4"><a href="#cb7-4"></a>ss <span class="ot">=</span> <span class="fu">compute_structural_shocks</span>(post)</span>
<span id="cb7-5"><a href="#cb7-5"></a>csds <span class="ot">=</span> <span class="fu">compute_conditional_sd</span>(post)</span>
<span id="cb7-6"><a href="#cb7-6"></a>sddr <span class="ot">=</span> <span class="fu">verify_identification</span>(post)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>analizy strukturalne</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb8"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb8-1"><a href="#cb8-1"></a>irfs <span class="ot">=</span> <span class="fu">compute_impulse_responses</span>(post , <span class="at">horizon =</span> <span class="dv">12</span>)</span>
<span id="cb8-2"><a href="#cb8-2"></a>fevd <span class="ot">=</span> <span class="fu">compute_variance_decompositions</span>(post, <span class="at">horizon =</span> <span class="dv">12</span>)</span>
<span id="cb8-3"><a href="#cb8-3"></a>hds <span class="ot">=</span> <span class="fu">compute_historical_decompositions</span>(post)</span>
<span id="cb8-4"><a href="#cb8-4"></a>ss <span class="ot">=</span> <span class="fu">compute_structural_shocks</span>(post)</span>
<span id="cb8-5"><a href="#cb8-5"></a>csds <span class="ot">=</span> <span class="fu">compute_conditional_sd</span>(post)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div>
</div>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-6" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>analizy predyktywne</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb9"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb9-1"><a href="#cb9-1"></a>fvs <span class="ot">=</span> <span class="fu">compute_fitted_values</span>(post)</span>
<span id="cb9-2"><a href="#cb9-2"></a>fore <span class="ot">=</span> <span class="fu">forecast</span>(post, <span class="at">horizon =</span> <span class="dv">12</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>wykresy i podsumowania</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb10"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb10-1"><a href="#cb10-1"></a><span class="fu">plot</span>(irfs)</span>
<span id="cb10-2"><a href="#cb10-2"></a><span class="fu">summary</span>(irfs)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>analizy predyktywne</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb11"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb11-1"><a href="#cb11-1"></a>fvs <span class="ot">=</span> <span class="fu">compute_fitted_values</span>(post)</span>
<span id="cb11-2"><a href="#cb11-2"></a>fore <span class="ot">=</span> <span class="fu">forecast</span>(post, <span class="at">horizon =</span> <span class="dv">12</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<ul>
<li>wykresy i podsumowania</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb12"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb12-1"><a href="#cb12-1"></a><span class="fu">plot</span>(irfs)</span>
<span id="cb12-2"><a href="#cb12-2"></a><span class="fu">summary</span>(irfs)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div>
</div>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-7" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>skrypty z przekierowaniem</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb13"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb13-1"><a href="#cb13-1"></a><span class="fu">library</span>(bsvars)</span>
<span id="cb13-2"><a href="#cb13-2"></a><span class="fu">data</span>(us_fiscal_lsuw)</span>
<span id="cb13-3"><a href="#cb13-3"></a></span>
<span id="cb13-4"><a href="#cb13-4"></a>us_fiscal_lsuw <span class="sc">|></span> </span>
<span id="cb13-5"><a href="#cb13-5"></a> specify_bsvar<span class="sc">$</span><span class="fu">new</span>() <span class="sc">|></span> </span>
<span id="cb13-6"><a href="#cb13-6"></a> <span class="fu">estimate</span>(<span class="at">S =</span> <span class="dv">1000</span>) <span class="sc">|></span> </span>
<span id="cb13-7"><a href="#cb13-7"></a> <span class="fu">estimate</span>(<span class="at">S =</span> <span class="dv">10000</span>) <span class="ot">-></span> post</span>
<span id="cb13-8"><a href="#cb13-8"></a></span>
<span id="cb13-9"><a href="#cb13-9"></a>post <span class="sc">|></span> <span class="fu">compute_impulse_responses</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-10"><a href="#cb13-10"></a>post <span class="sc">|></span> <span class="fu">compute_variance_decompositions</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-11"><a href="#cb13-11"></a>post <span class="sc">|></span> <span class="fu">compute_historical_decompositions</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-12"><a href="#cb13-12"></a>post <span class="sc">|></span> <span class="fu">compute_structural_shocks</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-13"><a href="#cb13-13"></a>post <span class="sc">|></span> <span class="fu">compute_conditional_sd</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-14"><a href="#cb13-14"></a>post <span class="sc">|></span> <span class="fu">forecast</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb13-15"><a href="#cb13-15"></a>post <span class="sc">|></span> <span class="fu">verify_identification</span>() <span class="sc">|></span> <span class="fu">summary</span>()</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>skrypty z przekierowaniem</li>
</ul>
<div class="cell">
<div class="sourceCode cell-code" id="cb14"><pre class="sourceCode numberSource r number-lines code-with-copy"><code class="sourceCode r"><span id="cb14-1"><a href="#cb14-1"></a><span class="fu">library</span>(bsvarSIGNs)</span>
<span id="cb14-2"><a href="#cb14-2"></a><span class="fu">data</span>(optimism)</span>
<span id="cb14-3"><a href="#cb14-3"></a></span>
<span id="cb14-4"><a href="#cb14-4"></a>optimism <span class="sc">|></span> </span>
<span id="cb14-5"><a href="#cb14-5"></a> specify_bsvarSIGN<span class="sc">$</span><span class="fu">new</span>() <span class="sc">|></span> </span>
<span id="cb14-6"><a href="#cb14-6"></a> <span class="fu">estimate</span>(<span class="at">S =</span> <span class="dv">10000</span>) <span class="ot">-></span> post</span>
<span id="cb14-7"><a href="#cb14-7"></a></span>
<span id="cb14-8"><a href="#cb14-8"></a>post <span class="sc">|></span> <span class="fu">compute_impulse_responses</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb14-9"><a href="#cb14-9"></a>post <span class="sc">|></span> <span class="fu">compute_variance_decompositions</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb14-10"><a href="#cb14-10"></a>post <span class="sc">|></span> <span class="fu">compute_historical_decompositions</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb14-11"><a href="#cb14-11"></a>post <span class="sc">|></span> <span class="fu">compute_structural_shocks</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb14-12"><a href="#cb14-12"></a>post <span class="sc">|></span> <span class="fu">compute_conditional_sd</span>() <span class="sc">|></span> <span class="fu">plot</span>()</span>
<span id="cb14-13"><a href="#cb14-13"></a>post <span class="sc">|></span> <span class="fu">forecast</span>(<span class="at">horizon =</span> <span class="dv">12</span>) <span class="sc">|></span> <span class="fu">plot</span>()</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
</div>
</div>
</section>
<section id="cechy-paczek-bsvars-i-bsvarsigns-8" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">cechy paczek bsvars i bsvarSIGNs</span></h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:50%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>monitorowanie postępu</li>
</ul>
<p><img data-src="bsvars_progress.png" width="500"></p>
</div><div class="column" style="width:50%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>monitorowanie postępu</li>
</ul>
<p><img data-src="bsvarSIGNs_progress.png" width="500"></p>
</div>
</div>
</section>
<section id="strukturalne-modele-var-1" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">strukturalne modele VAR</span></h2>
</section>
<section id="strukturalne-modele-var-2" class="slide level2">
<h2>strukturalne modele VAR</h2>
<ul>
<li>podstawowe dla modelowania efektów polityki ekonomicznej</li>
<li>analiza <strong>dynamicznych efektów przyczynowych</strong> dobrze izolowanej przyczyny</li>
<li>stosunkowo proste w pracy z danymi i dostarczają <em>empirycznych dowodów na propagację szoków</em> przez gospodarki i rynki</li>
<li>dostarczają empirycznych faktów do uwzględnienia w modelach teoretyczne</li>
<li>szeroko stosowane w: <em>polityce pieniężnej</em> i <em>fiskalnej</em>, <em>rynku finansowym</em>, …</li>
<li>rozszerzalne: <em>wiele wariantów specyfikacji</em>
<ul>
<li>nieliniowość</li>
<li>heteroskedastyczność</li>
<li>zmienne parametry w czasie</li>
<li>modelowanie hierarchiczne bayesowskie</li>
</ul></li>
<li>zaproponowane przez <a href="https://doi.org/10.2307/1912017">Sims (1980)</a></li>
</ul>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
</section>
<section id="strukturalne-modele-var-3" class="slide level2">
<h2>strukturalne modele VAR</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="model.">model.</h3>
<p><span class="math display">\[\begin{align}
\text{równanie VAR: }&& y_t &= \mathbf{A}_1 y_{t-1} + \dots + \mathbf{A}_p y_{t-p} + \mathbf{A}_d x_{t} + \epsilon_t\\[1ex]
\text{równanie strukturalne: }&& \mathbf{B}\epsilon_t &= u_t\\[1ex]
\text{strukturalne szoki: }&& u_t |Y_{t-1} &\sim N_N\left(\mathbf{0}_N,\text{diag}\left(\boldsymbol\sigma_t^2\right)\right)
\end{align}\]</span></p>
<div class="fragment">
<!-- -->
<h3 id="notacja.">notacja.</h3>
<ul>
<li><span class="math inline">\(y_t\)</span> - wektor <span class="math inline">\(N\)</span> zmiennych na okres <span class="math inline">\(t\)</span></li>
<li><span class="math inline">\(\mathbf{A}_i\)</span> i <span class="math inline">\(\mathbf{B}\)</span> - <span class="math inline">\(N\times N\)</span> macierze parametrów autoregresyjnych i strukturalnych</li>
<li><span class="math inline">\(\epsilon_t\)</span> i <span class="math inline">\(u_t\)</span> - wektory <span class="math inline">\(N\)</span> błędów statystycznych i szoków strukturalnych</li>
<li><span class="math inline">\(\boldsymbol\sigma_t^2\)</span> - wektor <span class="math inline">\(N\)</span> wariancji szoków strukturalnych</li>
</ul>
</div>
</section>
<section id="svar-hierarchiczne-rozkłady-a-priori" class="slide level2">
<h2>SVAR: hierarchiczne rozkłady a priori</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:45%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>normalny-uogólniony normalny rozkład <em>a priori</em> dla <span class="math inline">\(\mathbf{A}\)</span> i <span class="math inline">\(\mathbf{B}\)</span></li>
<li>wielopoziomowa estymacja wariancji <em>a priori</em></li>
<li>rozkład <em>a priori</em> z Minnesoty dla niestacjonarnych szeregów czasowych</li>
<li>bardziej precyzyjne estymacja i prognozowanie</li>
</ul>
</div><div class="column" style="width:5%;">
</div><div class="column" style="width:45%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>rozkład <em>a priori</em> normalny i odwrócony Wisharta dla <span class="math inline">\(\mathbf{A}\)</span> i <span class="math inline">\(\mathbf{\Sigma} = (\mathbf{B}'\mathbf{B})^{-1}\)</span></li>
<li>estymacja wariancji <em>a priori</em></li>
<li>rozkład <em>a priori</em> z Minnesoty dla niestacjonarnych szeregów czasowych</li>
<li>bardziej precyzyjne estymacja i prognozowanie</li>
</ul>
</div>
</div>
</section>
<section id="svar-modelowanie-zmienności" class="slide level2">
<h2>SVAR: modelowanie zmienności</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:65%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li><p>homoskedastyczność <span class="math inline">\(\boldsymbol\sigma_{n.t}^2 = 1\)</span></p></li>
<li><p>zmienność stochastyczna</p></li>
<li><p>stacjonarny proces Markowa dla zmienności</p></li>
<li><p>nieparametryczny proces Markowa dla zmienności</p></li>
<li><p>rozkłady szoków</p>
<ul>
<li>normalny</li>
<li>skończona mieszanka rozkładów normalnych</li>
<li>nieparametryczna mieszanka rozkładów normalnych</li>
<li>rozkład t-Studenta</li>
</ul></li>
</ul>
</div><div class="column" style="width:5%;">
</div><div class="column" style="width:30%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>homoskedastyczność</li>
<li>normalny rozkład szoków</li>
</ul>
</div>
</div>
</section>
<section id="svar-identyfikacja" class="slide level2">
<h2>SVAR: identyfikacja</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<div class="columns">
<div class="column" style="width:45%;">
<p><img data-src="bsvars.png" width="120"></p>
<ul>
<li>restrykcje zerowe</li>
<li>heteroskedastyczność</li>
<li>nienormalne rozkłady szoków</li>
</ul>
</div><div class="column" style="width:5%;">
</div><div class="column" style="width:45%;">
<p><img data-src="bsvarSIGNs.png" width="120"></p>
<ul>
<li>restrykcje znaków</li>
<li>restrykcje zerowe</li>
<li>restrykcje narracyjne</li>
</ul>
</div>
</div>
</section>
<section id="strukturalne-modele-var-4" class="slide level2">
<h2>strukturalne modele VAR</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="błędy-statystyczne.">błędy statystyczne.</h3>
<p><span class="math display">\[\begin{align}
&&&\\
\text{równanie strukturalne: }&& \epsilon_t &= \mathbf{B}^{-1}u_t = \mathbf{\Theta}_0 u_t\\[1ex]
\text{błędy statystyczne: }&& \epsilon_t |Y_{t-1} &\sim N_N\left(\mathbf{0}_N,\Sigma\right)\\[1ex]
\text{kowariancja: }&& \mathbf\Sigma &= \mathbf{B}^{-1}\mathbf{B}^{-1\prime} = \Theta_0\Theta_0'
\end{align}\]</span></p>
<h3 id="notacja.-1">Notacja.</h3>
<ul>
<li><span class="math inline">\(\mathbf\Sigma\)</span> - <span class="math inline">\(N\times N\)</span> kowariancja błędów statystycznych</li>
<li><span class="math inline">\(\Theta_0 = \mathbf{B}^{-1}\)</span> - <span class="math inline">\(N\times N\)</span> macierz efektów strukturalnych</li>
</ul>
</section>
<section id="strukturalne-modele-var-5" class="slide level2">
<h2>strukturalne modele VAR</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<p>Wstaw <em>równanie VAR</em> w <em>równanie strukturalne</em>:</p>
<p><span class="math display">\[\begin{align}
\mathbf{B}y_t &= \mathbf{B}\mathbf{A}_1 y_{t-1} + \dots + \mathbf{B}\mathbf{A}_p y_{t-p} + \mathbf{B}\boldsymbol\mu_0 + u_t\\[1ex]
&\\
\end{align}\]</span></p>
<h3 id="relacje-strukturanlne.">relacje strukturanlne.</h3>
<p>Niech <span class="math inline">\(N=2\)</span></p>
<p><span class="math display">\[\begin{align}
\mathbf{B}y_t &= \begin{bmatrix}B_{11}&B_{12}\\B_{21}&B_{22}\end{bmatrix}\begin{bmatrix}y_{1t}\\y_{2t}\end{bmatrix}
\end{align}\]</span></p>
</section>
<section id="strukturalne-modele-var-6" class="slide level2">
<h2>strukturalne modele VAR</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<p>Wstaw <em>równanie strukturalne</em> dla <span class="math inline">\(\epsilon_t\)</span> w <em>równanie VAR</em>:</p>
<p><span class="math display">\[\begin{align}
y_t &= \mathbf{A}_1 y_{t-1} + \dots + \mathbf{A}_p y_{t-p} + \boldsymbol\mu_0 + \mathbf{B}^{-1}u_t\\[1ex]
y_t &= \mathbf{A}_1 y_{t-1} + \dots + \mathbf{A}_p y_{t-p} + \boldsymbol\mu_0 + \mathbf{\Theta}_0 u_t
\end{align}\]</span></p>
<h3 id="efekty-strukturane.">efekty strukturane.</h3>
<p>Niech <span class="math inline">\(N=2\)</span></p>
<p><span class="math display">\[\begin{align}
\begin{bmatrix}y_{1t}\\y_{2t}\end{bmatrix} &= \dots +
\begin{bmatrix}\Theta_{11}&\Theta_{12}\\\Theta_{21}&\Theta_{22}\end{bmatrix}\begin{bmatrix}u_{1t}\\ u_{2t}\end{bmatrix}
\end{align}\]</span></p>
</section>
<section id="identyfikacja-modeli-strukturalnych-1" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">identyfikacja modeli strukturalnych</span></h2>
</section>
<section id="identyfikacja-modeli-strukturalnych-2" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="równanie-strukturalne.">równanie strukturalne.</h3>
<p><span class="math display">\[\begin{align}
\text{relacje strukturalne:}&&\mathbf{Q}\mathbf{B}\epsilon_t &= \mathbf{Q}u_t\\[1ex]
\text{efekty strukturalne:}&&\epsilon_t &= \mathbf{\Theta}_0\mathbf{Q}'\mathbf{Q} u_t\\[1ex]
\end{align}\]</span></p>
<h3 id="identyfikacja-co-do-macierzy-obrotu.">identyfikacja co do macierzy obrotu.</h3>
<p><span class="math display">\[\begin{align}
\mathbf\Sigma &= \mathbf{B}^{-1}\mathbf{Q}'\mathbf{Q}\mathbf{B}^{-1\prime} = \mathbf{\Theta}_0\mathbf{Q}'\mathbf{Q}\mathbf{\Theta}_0^{\prime}\\[1ex]
\mathbf{Q}'\mathbf{Q} &= \mathbf{I}_N\\[1ex]
\end{align}\]</span></p>
<ul>
<li>funkcja wiarygodności nie zależy od <span class="math inline">\(\mathbf{Q}\)</span></li>
<li>identyfikacja modely zawęża typ <span class="math inline">\(\mathbf{Q}\)</span></li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-3" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="kowariancja-i-relacje-strukturalne.">kowariancja i relacje strukturalne.</h3>
<p><span class="math display">\[\begin{align}
&\\
\mathbf\Sigma &= \mathbf{B}^{-1}\mathbf{B}^{-1\prime}\\[1ex]
\end{align}\]</span></p>
<ul>
<li><span class="math inline">\(\mathbf\Sigma\)</span> może być estymowana z danych</li>
<li>układ równań strukturalnych do rozwiązanie dla <span class="math inline">\(\mathbf{B}\)</span></li>
<li><span class="math inline">\(\mathbf\Sigma\)</span> jest macierzą <em>symetryczną</em> <span class="math inline">\(N\times N\)</span></li>
<li><span class="math inline">\(\mathbf\Sigma\)</span> ma <span class="math inline">\(N(N+1)/2\)</span> unikalnych elementów, tj. równań</li>
<li><span class="math inline">\(\mathbf{B}\)</span> jest <span class="math inline">\(N\times N\)</span> macierzą z <span class="math inline">\(N^2\)</span> elementami do estymacji</li>
<li>niewystarczająca liczba równań do estymacji <span class="math inline">\(\mathbf{B}\)</span></li>
<li><span class="math inline">\(\mathbf{B}\)</span> <text style="color:#ff68b4;"><strong>nie jest indentyfikowalna</strong></text></li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-4" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="restrykcje-zerowe.">restrykcje zerowe.</h3>
<p><span class="math display">\[\begin{align}
&\\
\mathbf\Sigma &= \mathbf{B}^{-1}\mathbf{B}^{-1\prime}\\[1ex]
\end{align}\]</span></p>
<h3 id="identyfikacja.">identyfikacja.</h3>
<ul>
<li>jedynie <span class="math inline">\(N(N+1)/2\)</span> elementów w <span class="math inline">\(\mathbf{B}\)</span> może być wyestymowanych</li>
<li>nałożenie <span class="math inline">\(N(N-1)/2\)</span> restrykcji na <span class="math inline">\(\mathbf{B}\)</span> ułatwia rozwiązanie</li>
<li>zmiana znaków wierszy w <span class="math inline">\(\mathbf{B}\)</span> nie zmienia wartości <span class="math inline">\(\mathbf\Sigma\)</span></li>
<li>często zakładamy trójkątną macierz <span class="math inline">\(\mathbf{B}\)</span></li>
<li>wiersze w <span class="math inline">\(\mathbf{B}\)</span> (i kolumny w <span class="math inline">\(\mathbf\Theta_0\)</span>) identyfikowane co do znaku</li>
<li>restrykcje zerowe zmieniają typ macierzy <span class="math inline">\(\mathbf{Q}\)</span> do diagonalnej z elementami <span class="math inline">\(\pm1\)</span></li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-5" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="restrykcje-zerowe.-1">restrykcje zerowe.</h3>
<p>Niech <span class="math inline">\(N=2\)</span></p>
<p><span class="math display">\[\begin{align}
\begin{bmatrix}\sigma_1^2&\sigma_{12}\\ \sigma_{12}&\sigma_2^2\end{bmatrix} &\qquad
\begin{bmatrix}B_{11}&B_{12}\\ B_{21}&B_{22}\end{bmatrix}\\[1ex]
\end{align}\]</span></p>
<ul>
<li>3 unikalne elementy w <span class="math inline">\(\mathbf\Sigma\)</span> - 3 równania</li>
<li>4 elemnty w <span class="math inline">\(\mathbf{B}\)</span> do rozwiązania</li>
</ul>
<h3 id="identyfikacja.-1">identyfikacja.</h3>
<p><span class="math display">\[\begin{align}
\begin{bmatrix}\sigma_1^2&\sigma_{12}\\ \sigma_{12}&\sigma_2^2\end{bmatrix} &\qquad
\begin{bmatrix}B_{11}& 0\\ B_{21}&B_{22}\end{bmatrix}\\[1ex]
\end{align}\]</span></p>
<ul>
<li>3 równania pozwalaja rozwiązać 3 niewiadome w <span class="math inline">\(\mathbf{B}\)</span></li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-6" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="identyfikacja-przez-heteroskedastyczność.">identyfikacja przez heteroskedastyczność.</h3>
<p>Rozważ:</p>
<ul>
<li>dwie kowariancje, <span class="math inline">\(\mathbf\Sigma_1\)</span> and <span class="math inline">\(\mathbf\Sigma_2\)</span>,</li>
<li>macież <span class="math inline">\(\mathbf{B}_0\)</span> niezmienna w czasie</li>
<li>kowariancje heteroskedastycznych szoków strukturalnych <span class="math inline">\(\text{diag}\left(\boldsymbol\sigma_1^2\right)\)</span> i <span class="math inline">\(\text{diag}\left(\boldsymbol\sigma_2^2\right)\)</span></li>
</ul>
<p><span class="math display">\[\begin{align}
\mathbf\Sigma_1 &= \mathbf{B}_0^{-1}\text{diag}\left(\boldsymbol\sigma_1^2\right)\mathbf{B}_0^{-1\prime}\\[1ex]
\mathbf\Sigma_2 &= \mathbf{B}_0^{-1}\text{diag}\left(\boldsymbol\sigma_2^2\right)\mathbf{B}_0^{-1\prime}
\end{align}\]</span></p>
</section>
<section id="identyfikacja-modeli-strukturalnych-7" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="identyfikacja-przez-heteroskedastyczność.-1">identyfikacja przez heteroskedastyczność.</h3>
<p><span class="math display">\[\begin{align}
\mathbf\Sigma_1 &= \mathbf{B}_0^{-1}\text{diag}\left(\boldsymbol\sigma_1^2\right)\mathbf{B}_0^{-1\prime}\\[1ex]
\mathbf\Sigma_2 &= \mathbf{B}_0^{-1}\text{diag}\left(\boldsymbol\sigma_2^2\right)\mathbf{B}_0^{-1\prime}
\end{align}\]</span></p>
<h3 id="identyfikacja.-2">identyfikacja.</h3>
<ul>
<li><span class="math inline">\(\mathbf\Sigma_1\)</span> i <span class="math inline">\(\mathbf\Sigma_2\)</span> mają <span class="math inline">\(N^2+N\)</span> unikalnych elementów</li>
<li>wszystkie <span class="math inline">\(N^2\)</span> elementy w <span class="math inline">\(\mathbf{B}_0\)</span> mogą być wyestymowane</li>
<li>oba wektory <span class="math inline">\(\boldsymbol\sigma_1^2\)</span> i <span class="math inline">\(\boldsymbol\sigma_2^2\)</span> mogą być wyestymowane dzięki założeniu: <span class="math inline">\(E\left[\text{diag}\left(\boldsymbol\sigma_i^2\right)\right] = \mathbf{I}_N\)</span></li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-8" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<p>Rozważ uogólnienie</p>
<p><span class="math display">\[\begin{align}
u_t |Y_{t-1} &\sim N_N\left(\mathbf{0}_N, \text{diag}\left(\boldsymbol\sigma_t^2\right)\right)\\[1ex]
\mathbf\Sigma_t &= \mathbf{B}_0^{-1}\text{diag}\left(\boldsymbol\sigma_t^2\right)\mathbf{B}_0^{-1\prime}
\end{align}\]</span></p>
<h3 id="identyfikacja.-3">identyfikacja.</h3>
<ul>
<li>identyfikacja macierzy <span class="math inline">\(\mathbf{B}_0\)</span> co do znaków i kolejności wierszy</li>
<li>szoki są identyfikowalne jeśli wariancje warunkowe nie są proporcjonalne</li>
<li>wariancje warunkowe <span class="math inline">\(\boldsymbol\sigma_t^2\)</span> mogą być wyestymowane</li>
</ul>
<h3 id="modelowanie-zmienności.">modelowanie zmienności.</h3>
<p>Wybierz model dla <span class="math inline">\(\boldsymbol\sigma_t^2\)</span> o najlepszych właściwościach.</p>
</section>
<section id="identyfikacja-modeli-strukturalnych-9" class="slide level2" data-background-color="#ededed">
<h2><span style="color: #ff68b4;">identyfikacja modeli strukturalnych</span></h2>
<img data-src="index_files/figure-revealjs/Alternative_Identification-1.png" width="960" class="r-stretch"></section>
<section id="identyfikacja-modeli-strukturalnych-10" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="restrykcje-znaku.">restrykcje znaku.</h3>
<p><span class="math display">\[\begin{align}
\text{relacje strukturalne:}&&\tilde{\mathbf{B}}\epsilon_t &= \tilde{u}_t\\[1ex]
\text{efekty strukturalne:}&&\epsilon_t &= \tilde{\mathbf{\Theta}}_0\tilde{u}_t\\[1ex]
\end{align}\]</span></p>
<ul>
<li>restrykcje na znak elementów w <span class="math inline">\(\tilde{\mathbf{B}}=\mathbf{Q}\mathbf{B}\)</span> i/lub <span class="math inline">\(\tilde{\mathbf{\Theta}}_0=\mathbf{\Theta}_0\mathbf{Q}'\)</span></li>
<li>zawęża zbiór identyfikowalny: model jest identyfikowalny co do macierzy obrotu <span class="math inline">\(\mathbf{Q}\)</span> koherentnej z restrykcjami</li>
<li>estymacja ma za cel oszacowanie zbioru identyfikowalnego</li>
</ul>
<h3 id="restrykcje-znaku-i-zerowe.">restrykcje znaku i zerowe.</h3>
<ul>
<li>restrykcje zerowe i na znak elementów w <span class="math inline">\(\tilde{\mathbf{B}}\)</span> i/lub <span class="math inline">\(\tilde{\mathbf{\Theta}}_0\)</span></li>
<li>zawęża zbiór identyfikowalny</li>
</ul>
</section>
<section id="identyfikacja-modeli-strukturalnych-11" class="slide level2">
<h2>identyfikacja modeli strukturalnych</h2>
<div class="footer">
<p><a href="https://bsvars.org">bsvars.org</a></p>
</div>
<h3 id="restrykcje-narracyjne.">restrykcje narracyjne.</h3>
<ul>
<li>restrykcje na znak elementów lub wielkości <span class="math inline">\(u_t\)</span> lub <span class="math inline">\(\tilde{u}_t\)</span></li>