smart_impactmat

<code>smart_impactmat</code> generates a random VAR model \((dxd)\) error impact matrix \(B\)
 fairly close to the given invertible impact matrix.

internal

Maximum likelihood estimation of smooth transition vector
autoregressive models with various types of transition weight functions,
conditional distributions, and identification methods. Constrained
estimation with various types of constraints is available. Residual based
model diagnostics, forecasting, simulations, and calculation of impulse
response functions, generalized impulse response functions, and generalized
forecast error variance decompositions. See
Heather Anderson, Farshid Vahid (1998) <doi:10.1016/S0304-4076(97)00076-6>,
Helmut Lütkepohl, Aleksei Netšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>,
Markku Lanne, Savi Virolainen (2024) <doi:10.48550/arXiv.2403.14216>,
Savi Virolainen (2024) <doi:10.48550/arXiv.2404.19707>.

Savi Virolainen

sstvars

Toolkit for Reduced Form and Structural Smooth Transition Vector
Autoregressive Models

smart_impactmat function

<dl><dt>B</dt>
<dd>an invertible \((dxd)\) impact matrix specifying
expected value of the matrix to be generated. Should have strictly positive diagonal entries in
a decreasing order.</dd>
<dt>accuracy</dt>
<dd>a positive real number adjusting how close to the given impact matrix
the returned individual should be. Larger value implies higher accuracy.</dd>
<dt>is_regime1</dt>
<dd>is the impact matrix for Regime 1? Regime 1 impact matrix is constrained so the elements
in its first row are in a decreasing ordering and the diagonal elements are strictly positive.</dd></dl>

Arguments

Create a random VAR model \((dxd)\) error impact matrix \(B\)
  fairly close to the given invertible impact matrix. — smart_impactmat

<dl>

<dt>B</dt>
<dd>an invertible \((dxd)\) impact matrix specifying
expected value of the matrix to be generated. Should have strictly positive diagonal entries in
a decreasing order.</dd>


<dt>accuracy</dt>
<dd>a positive real number adjusting how close to the given impact matrix
the returned individual should be. Larger value implies higher accuracy.</dd>


<dt>is_regime1</dt>
<dd>is the impact matrix for Regime 1? Regime 1 impact matrix is constrained so the elements
in its first row are in a decreasing ordering and the diagonal elements are strictly positive.</dd>

</dl>

smart_impactmat: Create a random VAR model \((dxd)\) error impact matrix \(B\) fairly close to the given invertible impact matrix.

Description

Usage

Value

Arguments