form_boldA: Form the (dp\times dp) "bold A" matrices related to the VAR...

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

Form the (dp\times dp) "bold A" matrices related to the VAR processes

Description

form_boldA creates the "bold A" (companien form) coefficient matrices related to VAR processes.

Usage

form_boldA(p, M, d, all_A)

Arguments

p	the autoregressive order of the model
M	the number of regimes
d	the number of time series in the system, i.e., the dimension
all_A	4D array containing all coefficient matrices A_{m,i}, obtained from pick_allA.

Details

The "bold A" (companion form) matrix is given, for instance, in Lütkepohl (2005, p. 15).

Value

Returns 3D array containing the (dp \times dp) "bold A" matrices related to each component VAR-process. The matrix A_{m} can be obtained by choosing [, , m].

Warning

No argument checks!

References

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

sstvars documentation built on April 11, 2025, 5:47 p.m.