Man pages for nielsaka/zeitreihe
Simulate, Estimate, Select, and Forecast Multiple Time Series Processes
| all_true | Are all elements TRUE? |
| asy_cov_mat_struc_coeff | Title |
| check_stability | Check the stability criterion of a VAR(p) model |
| check_start | Do all names start with "it"? |
| chol_decomp | Cholesky Decomposition |
| commutation_matrix | Title |
| companion_format | Convert a VAR(p) model to VAR(1) companion format |
| conc_log_lik_init | Initialise the Concentrated Log-Likelihood |
| cov_var_process | Compute the Covariance Matrix of a VAR(p) Process |
| create_arp_data | Create data using an AR(1) |
| create_svar_data | Create data using a structural VAR |
| create_varp_data | Create data using a reduced-form VAR |
| dm_col_index | Column indices of duplication matrix |
| dm_index | Indices of a duplication matrix |
| duplication_matrix | Duplication Matrix 'D' |
| duplication_matrix_ginverse | Moore-Penrose inverse of duplication matrix 'D' |
| expander_e | Expand a Matrix |
| gradient_var_init | Gradient of VAR reduced-form log-likelihood |
| is_identified | Verify whether an SVAR model is identified |
| lag_length | Retrieve number of lags |
| log_lik_init | Create a function to compute the log-likelihood |
| MA_coeffs | Moving Average Coefficients |
| mean_var_process | Compute the mean of a VAR(p) process |
| mle_var | Maximum likelihood estimation of a VAR(p) |
| obs_length | Retrieve number of observations |
| ols_cholesky | Estimate Contemporaneous Structural Effects |
| ols_mv | Multivariate ordinary least squares for VARs |
| rank_condition | Calculate matrix ranks for identification |
| selection_matrix | Selection matrix for imposing linear restrictions |
| selector_J | Create Selection Matrix 'J' |
| sMA_CI | Hall's percentile interval bootstrap |
| sMA_coeffs | structural moving average coefficients |
| split_templ | Sample Splitting |
| var_length | Retrieve number of variables |
| vec | Vectorise a matrix |
| vech | Vectorise a symmetric matrix |
| Y2Z | Create a regressor matrix for a VAR(p) model |
