View source: R/parameterReforms.R
stmvarpars_to_gstmvar | R Documentation |
stmvarpars_to_gstmvar
transforms a StMVAR (or G-StMVAR) model parameter vector to the corresponding
G-StMVAR model parameter vector with the large df parameters removed.
stmvarpars_to_gstmvar(
p,
M,
d,
params,
model = c("GMVAR", "StMVAR", "G-StMVAR"),
constraints = NULL,
same_means = NULL,
weight_constraints = NULL,
structural_pars = NULL,
maxdf = 100
)
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
model |
is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first |
constraints |
a size |
same_means |
Restrict the mean parameters of some regimes to be the same? Provide a list of numeric vectors
such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if
|
weight_constraints |
a numeric vector of length |
structural_pars |
If
See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is |
maxdf |
regimes with degrees of freedom parameter value larger than this will be turned into GMVAR type. |
If constraints are employed on the autoregressive parameters, the regimes cannot be sorted due to the
Returns a list with six elements: $params
contains the corresponding G-StMVAR model
parameter vector, $reg_order
contains the permutation that was applied to the regimes
(GMVAR type regimes first, and decreasing ordering by mixing weight parameters),
$M
a vector of length two containing the number of GMVAR type regimes in the first element
and the number of StMVAR type regimes in the second, $same_means
contains the same_mean
constraints of the new model. Finally $weight_constraints
contains the weight_constraints
and
$fixed_lambdas
the structural_pars$fixed_lambdas
of the new model
No argument checks!
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