simuMSVARX_cpp function

Simulate Markov-switching VARX process

This function simulates a Markov-switching VARX process.

simuMSVARX_cpp(mdl_h0, burnin = 100L)

Arguments

• mdl_h0: List containing the following DGP parameters

  • n: Length of series.
  • k: Number of regimes.
  • mu: A (k x q) matrix of means.
  • sigma: List with k (q x q) covariance matrices.
  • phi: A (q x qp) matrix of autoregressive coefficients.
  • p: Number of autoregressive lags.
  • q: Number of series.
  • P: A (k x k) transition matrix (columns must sum to one).
  • eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.
  • Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.
  • betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

• burnin: Number of simulated observations to remove from beginning. Default is 100.

Returns

List with simulated vector autoregressive series and its DGP parameters.