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GAS (version 0.3.4.1)

mGASSim: Class for Multivariate GAS Simulation

Description

Class for multivariate GAS model simulation.

Arguments

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

ModelInfo:

Object of class list. Contains information about the multivariate GAS specification:

  • iT: numeric Time length of simulated observations.

  • iN: numeric Cross sectional dimension.

  • iK : numeric number of (possibly) time--varying parameters implied by the distributional assumption.

  • vKappa numeric vector of unconditional level for the reparametrized vector of parameters.

  • mA matrix of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.

  • mB matrix of autoregressive coefficients of dimension iK x iK.

  • Dist character label of the conditional distribution, see DistInfo

  • ScalingType character representing the scaling mechanism for the conditional score, see DistInfo

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GASDyn:

Object of class list. Contains: the series of simulated parameters (GASDyn$mTheta), the series of scaled scores (GASDyn$mInnovation), the series of unrestricted simulated parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the log likelihood evaluated at its optimum value (GASDyn$dLLK)

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Data:

Object of class matrix. Matrix of dimension iN x iT of simulated data

Methods

  • show signature(object = 'mGASSim'): Show summary.

  • plot signature(x = 'mGASSim',y = 'missing'): Plot simulated data and parameters.

  • getFilteredParameters signature(object = 'mGASSim'): Extract simulated parameters.

  • getObs signature(object = 'mGASSim'): Extract simulated observations

  • coef signature(object = 'mGASSim'): Extract delivered coefficients

  • getMoments signature(object = 'uGASFor'): Extract simulated moments.

Author

Leopoldo Catania