reform_data: Reform data

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

Reform data

Description

reform_data reforms the data into a form that is easier to use when calculating log-likelihood values etc.

Usage

reform_data(data, p)

Arguments

data	a matrix or class 'ts' object with d>1 columns. Each column is taken to represent a univariate time series. Missing values are not supported.
p	a positive integer specifying the autoregressive order

Details

Assumes the observed data is y_{-p+1},...,y_0,y_1,...,y_{T}.

Value

Returns the data reformed into a ((n_{obs}-p+1)\times dp) matrix. The i:th row of the matrix contains the vector (y_{i-1},...,y_{i-p}) (dp\times 1), where y_{i}=(y_{1i},...,y_{di}) (d \times 1).

Warning

No argument checks!

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