get_phi_yt: Compute the intercept phi_{y,t}=sum_{m=1}^M alpha_{mt}...

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

Compute the intercept \phi_{y,t}=\sum_{m=1}^M \alpha_{mt} \phi_{m} parameter value for a single time period

Description

get_phi_yt computes the intercept \phi_{y,t}=\sum_{m=1}^M \alpha_{mt} \phi_{m} parameter value for a single time period based on the regime intercepts and transition weights.

Usage

get_phi_yt(all_phi0, alpha_mt)

Arguments

all_phi0	a (d \times M) matrix such that the mth column contains the intercept parameters of the mth regime.
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 (d \times 1) vector of the intercept parameter values for the time period t.

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