View source: R/parameterReforms.R
sort_components | R Documentation |
sort_components
sorts mixture components in the parameter vector according
to mixing weights into a decreasing order.
sort_components(
p,
M,
d,
params,
model = c("GMVAR", "StMVAR", "G-StMVAR"),
structural_pars = NULL
)
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
d |
the number of time series in the system. |
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
structural_pars |
If
See Virolainen (2022) for the conditions required to identify the shocks and for the B-matrix as well (it is |
Constrained parameter vectors are not supported (expect for constraints in W but including constraining some mean parameters to be the same among different regimes)! For structural models, sorting the regimes in a decreasing order requires re-parametrizing the decomposition of the covariance matrices if the first regime changes. As a result, the sorted parameter vector will differ from the given one not only by the ordering of the elements but also by some of the parameter values.
Returns sorted parameter vector of the form described for the argument params
,
with the mixture components sorted so that \alpha_{1}>...>\alpha_{M}
for GMVAR and StMVAR
models, and \alpha_{1}>...>\alpha_{M1}
and \alpha_{M1+1}>...>\alpha_{M}
for G-StMVAR models.
No argument checks!
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. 2022. Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks. Unpublished working paper, available as arXiv:2007.04713.
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 Unpublished working paper, available as arXiv:2109.13648.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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.