regime_distance: Calculate "distance" between two (scaled) regimes...

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

Calculate "distance" between two (scaled) regimes \upsilon_{m} = (\phi_{m},\phi_{m},\sigma_{m})

Description

regime_distance calculates "distance" between two scaled regimes.

Usage

regime_distance(regime_pars1, regime_pars2)

Arguments

regime_pars1	a length pd^2+d+d(d+1)/2 vector \upsilon_{m} = (\phi_{m},\phi_{m},\sigma_{m}).
regime_pars2	a length pd^2+d+d(d+1)/2 vector \upsilon_{m} = (\phi_{m},\phi_{m},\sigma_{m}).

Value

Returns "distance" between regime_pars1 and regime_pars2. Values are scaled before calculating the "distance". Read the source code for more details.

Warning

No argument checks!

References

• Kheifets I.L., Saikkonen P.J. 2020. Stationarity and ergodicity of Vector STAR models. Econometric Reviews, 39:4, 407-414.

• Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.

• Lanne M., Virolainen S. 2025. A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. Unpublished working paper, available as arXiv:2403.14216.

• Virolainen S. 2025. Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. Unpublished working paper, available as arXiv:2404.19707.

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