get_y_t: Compute the observation y_t=mu_{y,t} + B_{y,t}e_t for a...

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

Compute the observation y_t=\mu_{y,t} + B_{y,t}e_t for a single time period

Description

get_y_t computes the observation y_t=\mu_{y,t} + B_{y,t}e_t for a single time period based on the conditional mean, impact matrix, and shock vector.

Usage

get_y_t(mu_yt, B_yt, e_t)

Arguments

mu_yt	a (d \times 1) vector of the conditional mean for the time period t.
B_yt	a (d \times d) impact matrix for the time period t.
e_t	a (d \times 1) vector of the structural shocks for the time period t.

Details

This is used in simulation of the counterfactual scenarios.

Value

Returns the (d \times 1) vector of observations for the time period t.

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