sstvars1.1.2 package

Check whether all arguments are positive integers

Construct a STVAR model based on results from an arbitrary estimation ...

Calculate upper bound for the joint spectral radius of a set of matric...

Calculate upper bound for the joint spectral radius of the "companion ...

Compute the bounding constant for acceptance-rejection sampling

Calculate gradient or Hessian matrix

Change parametrization of a parameter vector

Change the parameters of a specific regime of the given parameter vect...

Check Matrix B Invertibility with C++ (Internal Function)

Check the constraint matrix has the correct form

Check the data is in the correct form

Checks whether the given exogenous transition weights for simulation a...

Check whether the parameter vector is in the parameter space and throw...

Check that p, M, and d are correctly set

Checks whether the given object has class attribute 'stvar'

Check the argument weightfun_pars

Create Matrix F_i

Create a special matrix J

Simultaneously diagonalize two covariance matrices

Residual diagnostic plot for a STVAR model

Internal estimation function for estimating autoregressive and thresho...

Internal estimation function for estimating autoregressive and weight ...

Filter inappropriate the estimates produced by fitSTVAR

Internal estimation function for estimating STVAR model when bootstrap...

Maximum likelihood estimation of a structural STVAR model based on pre...

Two-phase or three-phase (penalized) maximum likelihood estimation of ...

Form the $(dp\times dp)$ "bold A" matrices related to the VAR processe...

Function factory for value formatting

Genetic algorithm for preliminary estimation of reduced form STVAR mod...

Calculate log multivariate Gaussian densities

Calculate log multivariate Gaussian densities

Generate random samples from the skewed t-distribution

Get the transition weights alpha_mt

Calculate absolute values of the eigenvalues of the "bold A" matrices ...

Calculate absolute values of the eigenvalues of the "bold A" matrices ...

Calculate the impact matrix $B_t$ for all $t$ for models with a non-Ga...

Switch from two-regime reduced form STVAR model to a structural model ...

Calculate AIC, HQIC, and BIC

Returns the default smallest allowed log-likelihood for given data.

Calculate the conditional means of the process

Get the new starting time of series that is forwarded some number of s...

Calculate the eigenvalues of the "Omega" error term covariance matrice...

Calculate the eigenvalues of the "Omega" error term covariance matrice...

Calculate regimewise autocovariance matrices

Calculate regime means $\mu_{m}$

Calculate residuals of a smooth transition VAR

Calculate the dp-dimensional covariance matrices $\Sigma_{m,p}$ in the...

Calculate symmetric square root matrix of a positive definite covarian...

Estimate generalized forecast error variance decomposition for structu...

Estimate generalized impulse response function for structural STVAR mo...

Determine whether the parameter vector is in the parameter space

Calculate log independent multivariate skewed t densities

Calculate log independent multivariate Student's t densities

Maximum likelihood estimation of a reduced form or structural STVAR mo...

Estimate linear impulse response function based on a single regime of ...

Log-likelihood function

Perform likelihood ratio test for a STVAR model

Compute the j:th power of a square matrix A

Calculate the number of (freely estimaed) parameters in the model

Reorder columns of a square matrix so that the first nonzero elements ...

Pick all coefficient matrices

Pick coefficient matrices

Pick coefficient matrix

Pick distribution parameters

Pick the structural parameter eigenvalues 'lambdas'

Pick covariance matrices

Pick $\phi_{m,0}$ or $\mu_{m}$, m=1,..,M vectors

Pick regime parameters

Pick the structural parameter matrix W

Pick transition weight parameters

Plot structural shock time series of a STVAR model

Perform adjusted Portmanteau test for a STVAR model

Predict method for class 'stvar' objects

Print method for the class hypotest

Summary print method from objects of class 'stvarsum'

Plot profile log-likelihood functions about the estimates

Create random VAR model $(dxd)$ coefficient matrices $A$.

Create random stationary VAR model $(dxd)$ coefficient matrices $A$.

Create random VAR model error term covariance matrix

Create random distribution parameter values

Create random VAR model impact matrix

Create random mean parametrized parameter vector

Create random transition weight parameter values

Perform Rao's score test for a STVAR model

In the decomposition of the covariance matrices (Muirhead, 1982, Theor...

Reform constrained parameter vector into the "standard" form

Reform data

Calculate "distance" between two (scaled) regimes upsilon_{m} $ = (\ph...

Reorder columns of impact matrix B (and lambda parameters if any) of a...

Simulate observations from a regime of a STVAR model

Simulate method for class 'stvar' objects

The density function of the univariate skewed t distribution

Create random VAR model $(dxd)$ error term covariance matrix $\Omega$f...

Create random distribution parameter values close to given values

Create a random VAR model $(dxd)$ error impact matrix $B$fairly close ...

Create random parameter vector that is fairly close to a given paramet...

Create random transition weight parameter values

Sort and sign change the columns of the impact matrices of the regimes...

Sort regimes in parameter vector according to transition weights into ...

sstvars: toolkit for reduced form and structural smooth transition vec...

Check the stability condition for each of the regimes

The density function of the univariate t distribution with zero mean a...

Calculate standard errors for estimates of a smooth transition VAR mod...

Calculate log multivariate Student's t densities

Update STVAR model estimated with a version of the package <1.1.0 to b...

Create a class 'stvar' object defining a reduced form or structural sm...

Swap all signs in pointed columns of the impact matrix of a structural...

Swap the parametrization of a STVAR model

Calculate the unconditional means, variances, the first p autocovarian...

Reverse vectorization operator

Reverse operator of the parsimonious vectorization operator vech

Reverse vectorization operator that restores zeros

Calculate the dp-dimensional covariance matrix of p consecutive observ...

Vectorization operator

Parsimonious vectorization operator for symmetric matrices

Perform Wald test for a STVAR model

Warn about near-unit-roots in some regimes

Vectorization operator that removes zeros