get_hetsked_sstvar function

Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity

get_hetsked_sstvar constructs structural STVAR model identified by heteroskedasticity based on a reduced form STVAR model.

get_hetsked_sstvar(stvar, calc_std_errors = FALSE)

Arguments

• stvar: a an object of class 'stvar', created by, e.g., fitSTVAR, specifying a reduced form or a structural model
• calc_std_errors: Calculate approximate standard errors (based on standard asymptotics)?

Returns

Returns an object of class 'stvar' defining a structural STVAR model identified by heteroskedasticity, with the main diagonal of the impact matrix normalized to be positive.

Details

The switch is made by simultaneously diagonalizing the two error term covariance matrices with a well known matrix decomposition (Muirhead, 1982, Theorem A9.9) and then normalizing the diagonal of the matrix W positive (which implies positive diagonal of the impact matrix). Models with more that two regimes are not supported because the matrix decomposition does not generally exists for more than two covariance matrices.

See Also

fitSSTVAR, STVAR, fitSTVAR

• Muirhead R.J. 1982. Aspects of Multivariate Statistical Theory, Wiley.