get_regime_autocovs: Calculate regimewise autocovariance matrices

Description Usage Arguments Value References See Also Examples

View source: R/uncondMoments.R

Description

get_regime_autocovs calculates the first p regimewise autocovariance matrices Γ_{m}(j) for the given GMVAR, StMVAR, or G-StMVAR model.

Usage

1

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

Value

Returns an (d x d x p+1 x M) array containing the first p regimewise autocovariance matrices. The subset [, , j, m] contains the j-1:th lag autocovariance matrix of the m:th regime.

References

See Also

Other moment functions: cond_moments(), get_regime_means(), uncond_moments()

Examples

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# GMVAR(1,2), d=2 model:
params12 <- c(0.55, 0.112, 0.344, 0.055, -0.009, 0.718, 0.319, 0.005,
 0.03, 0.619, 0.173, 0.255, 0.017, -0.136, 0.858, 1.185, -0.012,
 0.136, 0.674)
mod12 <- GSMVAR(gdpdef, p=1, M=2, params=params12)
get_regime_autocovs(mod12)

# Structural GMVAR(2, 2), d=2 model identified with sign-constraints:
params22s <- c(0.36, 0.121, 0.484, 0.072, 0.223, 0.059, -0.151, 0.395,
 0.406, -0.005, 0.083, 0.299, 0.218, 0.02, -0.119, 0.722, 0.093, 0.032,
 0.044, 0.191, 0.057, 0.172, -0.46, 0.016, 3.518, 5.154, 0.58)
W_22 <- matrix(c(1, 1, -1, 1), nrow=2, byrow=FALSE)
mod22s <- GSMVAR(gdpdef, p=2, M=2, params=params22s, structural_pars=list(W=W_22))
mod22s
get_regime_autocovs(mod22s)

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