get_boldA_eigens: Calculate absolute values of the eigenvalues of the "bold A"...

In gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients

Description

get_boldA_eigens calculates absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients for each mixture component.

Usage

get_boldA_eigens(gsmvar)

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

Value

Returns a matrix with d*p rows and M columns - one column for each regime. The mth column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime m.

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.

• Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.

@keywords internal

Examples

# GMVAR(2, 2), d=2 model
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GSMVAR(p=2, M=2, d=2, params=params22)
get_boldA_eigens(mod22)

gmvarkit documentation built on April 4, 2025, 1:54 a.m.