tvvarSIM: xxx

In LauraBringmann/tvvarGAM: Estimates time-varying VAR model using GAM

xxx

Description

tvvarSIM xxx.

Usage

tvvarSIM(
  nt,
  nv,
  FUN.aint = rep(1, nv),
  max.aint = rep(1, nv),
  FUN.rho = rep(1, nv * nv),
  max.rho = rep(0.4, nv * nv),
  min.cor = 0.1,
  max.cor = 0.5
)

Arguments

nt	Number of time points.
nv	Number of variables.
FUN.aint	Vector of length nv with 1s=invariant, 2s=linear, 3s=sine. Default is a vector of 1s.
max.aint	Vector of length nv with maximum value for the intercept. Default is a vector of 1s.
FUN.rho	Vector of length nv^2 with 1s=invariant, 2s=linear, 3s=sine. Default is a vector of 1s.
max.rho	Vector of length nv^2 with maximum value for the off-diagonal correlations. Default is a vector of .4s.
min.cor	Minimum correlation value. Default is .1.
max.cor	Maximum correlation value. Default is .5.

Value

The function returns a list (an object of class tvvarSIM) with 4 elements:

y	xxx.
aint	xxx.
rho	xxx.
sigma	xxx.

Details

xxx.

Author(s)

Laura Bringmann, [e-mail]

References

\insertRef

RobertsLaughlin1996tvvarGAM

\insertRef

Robertsetal2000tvvarGAM

Examples

# Example 1 - xxx

# Example 2 - xxx

LauraBringmann/tvvarGAM documentation built on Sept. 2, 2023, 5:08 p.m.