random_coefmats function

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

random_coefmats generates random VAR model coefficient matrices.

random_coefmats(d, how_many, scale)

Arguments

• how_many: how many $(dxd)$ coefficient matrices $A$ should be drawn?
• scale: non-diagonal elements will be drawn from mean zero normal distribution with sd=0.3/scale and diagonal elements from one with sd=0.6/scale. Larger scale will hence more likely result stationary coefficient matrices, but will explore smaller area of the parameter space. Can be for example 1 + log(2*mean(c((p-0.2)^(1.25), d))).

Returns

Returns $((how_many*d^2)x1)$ vector containing vectorized coefficient matrices $(vec(A_{1}),...,vec(A_{how_many}))$. Note that if how_many==p, then the returned vector equals phi_{m} .