Generate Data for the Simultaneous Equations Model

Compute Y and X matrix (data) Use reduced form of the model to compute Y \(Y = X B \Gamma^{-1} + U \Gamma^{-1}\)

Usage

generate_sample_data(
  sample_size,
  sample_start,
  burnin,
  gamma_matrix,
  beta_matrix,
  sigma_matrix,
  endogenous_variables,
  exogenous_variables,
  predetermined_variables
)

Arguments

sample_size

The number of observations.

sample_start

A vector of format c(YEAR, QUARTER) representing

burnin

The number of observations to discard to mitigate the dependency on starting values.

gamma_matrix

A matrix that defines the relationships between the variables.

beta_matrix

A matrix that defines the coefficients of the equation.

sigma_matrix

A matrix that defines the standard deviation of the error terms.

endogenous_variables

A vector of endogenous variables.

exogenous_variables

A vector of exogenous variables.

predetermined_variables

A vector of predetermined variables.

Value

A list containing three elements:

• y_matrix: The dependent variable matrix with newly generated data.

• x_matrix: The matrix of exogenous and predetermined variables with newly generated data.

• ts_data: A list containing time series in growth rates.

Details

It creates a sample of data where the relationship between the variables is determined by the defined parameters.