get_hetsked_sstvar: Switch from two-regime reduced form STVAR model to a...

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

Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity

Description

get_hetsked_sstvar constructs structural STVAR model identified by heteroskedasticity based on a reduced form STVAR model.

Usage

get_hetsked_sstvar(stvar, calc_std_errors = FALSE)

Arguments

stvar	a an object of class 'stvar', created by, e.g., fitSTVAR, specifying a reduced form or a structural model
calc_std_errors	Calculate approximate standard errors (based on standard asymptotics)?

Details

The switch is made by simultaneously diagonalizing the two error term covariance matrices with a well known matrix decomposition (Muirhead, 1982, Theorem A9.9) and then normalizing the diagonal of the matrix W positive (which implies positive diagonal of the impact matrix). Models with more that two regimes are not supported because the matrix decomposition does not generally exists for more than two covariance matrices.

Value

Returns an object of class 'stvar' defining a structural STVAR model identified by heteroskedasticity, with the main diagonal of the impact matrix normalized to be positive.

See Also

fitSSTVAR, STVAR, fitSTVAR

• Muirhead R.J. 1982. Aspects of Multivariate Statistical Theory, Wiley.

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