create_Fi_matrix: Create Matrix F_i

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Create Matrix F_i

Description

create_Fi_matrix function generates a (T_obs \times T_obs) matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

Usage

create_Fi_matrix(i, T_obs)

Arguments

i	Integer, the lag for which the matrix is constructed, corresponding to the sub-diagonal filled with 1's.
T_obs	Integer, the number of time periods or observations in the dataset, corresponding to the dimensions of the matrix.

Details

Used in Portmanteau_test. The matrix F_i in Lütkepohl (2005), p.158.

Value

A (T_obs \times T_obs) matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

References

• Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.

sstvars documentation built on Sept. 16, 2025, 1:09 a.m.