get_allA_yti: Compute the autoregression matrices A_{y,t,i}\equiv...

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

Compute the autoregression matrices A_{y,t,i}\equiv \sum_{m=1}^M\alpha_{m,t}A_{m,i} for all lags i=1,...,p for a single time period

Description

get_allA_yti computes the autoregression matrices A_{y,t,i}\equiv \sum_{m=1}^M\alpha_{m,t}A_{m,i}, for all lags i=1,...,p for a single time period, based on the regime autoregression matrices and transition weights.

Usage

get_allA_yti(all_A, alpha_mt)

Arguments

all_A	4D array containing the coefficient matrices of all regimes so that coefficient matrix A_{m,i} can be obtained by choosing [, , i, m] (as obtained from pick_allA).
alpha_mt	an (M \times 1) vector containing the time period t transition weights.

Details

This is used in simulation of the counterfactual scenarios.

Value

Returns the 3D array containing the coefficient matrices for the given time period so that the lag i coefficient matrix A_{y,t,i} can be obtained by choosing [, , i].

sstvars documentation built on June 8, 2025, 10:07 a.m.