alt_gmvar: DEPRECATED! USE THE FUNCTION alt_gsmvar INSTEAD! Construct a...

Description Usage Arguments Details Value References See Also

View source: R/backwardCompatibility.R

Description

DEPRECATED! USE THE FUNCTION alt_gsmvar INSTEAD! alt_gsmvar constructs a GMVAR model based on results from an arbitrary estimation round of fitGSMVAR.

Usage

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alt_gmvar(
  gmvar,
  which_round = 1,
  which_largest,
  calc_cond_moments = TRUE,
  calc_std_errors = TRUE
)

Arguments

gmvar

object of class 'gmvar'

which_round

based on which estimation round should the model be constructed? An integer value in 1,...,ncalls.

which_largest

based on estimation round with which largest log-likelihood should the model be constructed? An integer value in 1,...,ncalls. For example, which_largest=2 would take the second largest log-likelihood and construct the model based on the corresponding estimates. If used, then which_round is ignored.

calc_cond_moments

should conditional means and covariance matrices should be calculated? Default is TRUE if the model contains data and FALSE otherwise.

calc_std_errors

should approximate standard errors be calculated?

Details

It's sometimes useful to examine other estimates than the one with the highest log-likelihood. This function is wrapper around GSMVAR that picks the correct estimates from an object returned by fitGSMVAR.

Value

Returns an object of class 'gsmvar' defining the specified reduced form or structural GMVAR, StMVAR, or G-StMVAR model. Can be used to work with other functions provided in gmvarkit.

Note that the first autocovariance/correlation matrix in $uncond_moments is for the lag zero, the second one for the lag one, etc.

References

See Also

alt_gsmvar


saviviro/gmvarkit documentation built on Oct. 25, 2021, 2:14 a.m.