random_coefmats: Create random VAR model (dxd) coefficient matrices A.

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

Create random VAR model (dxd) coefficient matrices A.

Description

random_coefmats generates random VAR model coefficient matrices.

Usage

random_coefmats(d, how_many, scale)

Arguments

how_many	how many (dxd) coefficient matrices A should be drawn?
scale	non-diagonal elements will be drawn from mean zero normal distribution with sd=0.3/scale and diagonal elements from one with sd=0.6/scale. Larger scale will hence more likely result stationary coefficient matrices, but will explore smaller area of the parameter space. Can be for example 1 + log(2*mean(c((p-0.2)^(1.25), d))).

Value

Returns ((how_many*d^2)x1) vector containing vectorized coefficient matrices (vec(A_{1}),...,vec(A_{how_many})). Note that if how_many==p, then the returned vector equals \phi_{m}.

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