sort_impactmats: Sort and sign change the columns of the impact matrices of the regimes so that the first element in each column of $B_1$ is positive and in a decreasing order.

Description

sort_impactmats sorts and sign changes the columns of the impact matrices of the regimes so that the first element in each column of $B_1$ is positive and in a decreasing order. The same reordering and sign changes performed to the columns of $B_1$ are applied to the rest of the impact matrices to obtain an observationally equivalent model. For skewed t models, also the signs of the skewness parameters corresponding to the columns whose signs are changed are changed accordingly.

Usage

sort_impactmats(
  p,
  M,
  d,
  params,
  weight_function = c("relative_dens", "logistic", "mlogit", "exponential", "threshold",
    "exogenous"),
  weightfun_pars = NULL,
  cond_dist = c("Gaussian", "Student", "ind_Student", "ind_skewed_t"),
  AR_constraints = NULL,
  mean_constraints = NULL,
  weight_constraints = NULL
)

Value

Returns sorted parameter vector of the form described for the argument params, with the regimes sorted so that...

If cond_dist == "ind_Student":: The parameter vector with the columns of the impact matrices sorted and sign changed so that the first element in each column of $B_1$ is positive and in a decreasing order. Sorts also the degrees of freedom parameters accordingly.
If cond_dist == "ind_skewed_t":: The parameter vector with the columns of the impact matrices sorted so that the first element in each column of $B_1$ are in a decreasing order. Also sorts the degrees of freedom and skewness parameters accordingly. Moreover, if signs of any column are changed, the signs of the corresponding skewness parameter values are also changed accordingly.
Otherwise:: Nothing to sort, so returns the original parameter vector given in param.

Arguments

p

a positive integer specifying the autoregressive order

M

a positive integer specifying the number of regimes

params

a real valued vector specifying the parameter values. Should have the form $\theta = (\phi_{1},...,\phi_{M},\varphi_1,...,\varphi_M,\sigma,\alpha,\nu)$, where (see exceptions below):

$\phi_{m} = $ the $(d \times 1)$ intercept (or mean) vector of the $m$th regime.
$\varphi_m = (vec(A_{m,1}),...,vec(A_{m,p}))$ $(pd^2 \times 1)$.
if cond_dist="Gaussian" or "Student":

$\sigma = (vech(\Omega_1),...,vech(\Omega_M))$ $(Md(d + 1)/2 \times 1)$.

if cond_dist="ind_Student" or "ind_skewed_t":

$\sigma = (vec(B_1),...,vec(B_M)$ $(Md^2 \times 1)$.
$\alpha = $ the $(a\times 1)$ vector containing the transition weight parameters (see below).
if cond_dist = "Gaussian"):

Omit $\nu$ from the parameter vector.

if cond_dist="Student":

$\nu > 2$ is the single degrees of freedom parameter.

if cond_dist="ind_Student":

$\nu = (\nu_1,...,\nu_d)$ $(d \times 1)$, $\nu_i > 2$.

if cond_dist="ind_skewed_t":

$\nu = (\nu_1,...,\nu_d,\lambda_1,...,\lambda_d)$ $(2d \times 1)$, $\nu_i > 2$ and $\lambda_i \in (0, 1)$.

For models with...

weight_function="relative_dens":: $\alpha = (\alpha_1,...,\alpha_{M-1})$ $(M - 1 \times 1)$, where $\alpha_m$ $(1\times 1), m=1,...,M-1$ are the transition weight parameters.

weight_function="logistic":

$\alpha = (c,\gamma)$ $(2 \times 1)$, where $c\in\mathbb{R}$ is the location parameter and $\gamma >0$ is the scale parameter.

weight_function="mlogit":

$\alpha = (\gamma_1,...,\gamma_M)$ $((M-1)k\times 1)$, where $\gamma_m$ $(k\times 1)$, $m=1,...,M-1$ contains the multinomial logit-regression coefficients of the $m$th regime. Specifically, for switching variables with indices in $I\subset\lbrace 1,...,d\rbrace$, and with $\tilde{p}\in\lbrace 1,...,p\rbrace$ lags included, $\gamma_m$ contains the coefficients for the vector $z_{t-1} = (1,\tilde{z}_{\min\lbrace I\rbrace},...,\tilde{z}_{\max\lbrace I\rbrace})$, where $\tilde{z}_{i} =(y_{it-1},...,y_{it-\tilde{p}})$, $i\in I$. So $k=1+|I|\tilde{p}$ where $|I|$ denotes the number of elements in $I$.

weight_function="exponential":

$\alpha = (c,\gamma)$ $(2 \times 1)$, where $c\in\mathbb{R}$ is the location parameter and $\gamma >0$ is the scale parameter.

weight_function="threshold":

$\alpha = (r_1,...,r_{M-1})$ $(M-1 \times 1)$, where $r_1,...,r_{M-1}$ are the thresholds.

weight_function="exogenous":

Omit $\alpha$ from the parameter vector.

AR_constraints:

Replace $\varphi_1,...,\varphi_M$ with $\psi$ as described in the argument AR_constraints.

mean_constraints:

Replace $\phi_{1},...,\phi_{M}$ with $(\mu_{1},...,\mu_{g})$ where $\mu_i, \ (d\times 1)$ is the mean parameter for group $i$ and $g$ is the number of groups.

weight_constraints:

If linear constraints are imposed, replace $\alpha$ with $\xi$ as described in the argument weigh_constraints. If weight functions parameters are imposed to be fixed values, simply drop $\alpha$ from the parameter vector.

identification="heteroskedasticity":

$\sigma = (vec(W),\lambda_2,...,\lambda_M)$, where $W$ $(d\times d)$ and $\lambda_m$ $(d\times 1)$, $m=2,...,M$, satisfy $\Omega_1=WW'$ and $\Omega_m=W\Lambda_mW'$, $\Lambda_m=diag(\lambda_{m1},...,\lambda_{md})$, $\lambda_{mi}>0$, $m=2,...,M$, $i=1,...,d$.

B_constraints:

For models identified by heteroskedasticity, replace $vec(W)$ with $\tilde{vec}(W)$ that stacks the columns of the matrix $W$ in to vector so that the elements that are constrained to zero are not included. For models identified by non-Gaussianity, replace $vec(B_1),...,vec(B_M)$ with similarly with vectorized versions $B_m$ so that the elements that are constrained to zero are not included.

Above, $\phi_{m}$ is the intercept parameter, $A_{m,i}$ denotes the $i$th coefficient matrix of the $m$th regime, $\Omega_{m}$ denotes the positive definite error term covariance matrix of the $m$th regime, and $B_m$ is the invertible $(d\times d)$ impact matrix of the $m$th regime. $\nu_m$ is the degrees of freedom parameter of the $m$th regime. If parametrization=="mean", just replace each $\phi_{m}$ with regimewise mean $\mu_{m}$. $vec()$ is vectorization operator that stacks columns of a given matrix into a vector. $vech()$ stacks columns of a given matrix from the principal diagonal downwards (including elements on the diagonal) into a vector. $Bvec()$ is a vectorization operator that stacks the columns of a given impact matrix $B_m$ into a vector so that the elements that are constrained to zero by the argument B_constraints are excluded.

weight_function

What type of transition weights $\alpha_{m,t}$ should be used?

"relative_dens":: $\alpha_{m,t}= \frac{\alpha_mf_{m,dp}(y_{t-1},...,y_{t-p+1})}{\sum_{n=1}^M\alpha_nf_{n,dp}(y_{t-1},...,y_{t-p+1})}$, where $\alpha_m\in (0,1)$ are weight parameters that satisfy $\sum_{m=1}^M\alpha_m=1$ and $f_{m,dp}(\cdot)$ is the $dp$-dimensional stationary density of the $m$th regime corresponding to $p$ consecutive observations. Available for Gaussian conditional distribution only.

"logistic":

$M=2$, $\alpha_{1,t}=1-\alpha_{2,t}$, and $\alpha_{2,t}=[1+\exp\lbrace -\gamma(y_{it-j}-c) \rbrace]^{-1}$, where $y_{it-j}$ is the lag $j$ observation of the $i$th variable, $c$ is a location parameter, and $\gamma > 0$ is a scale parameter.

"mlogit":

$\alpha_{m,t}=\frac{\exp\lbrace \gamma_m'z_{t-1} \rbrace} {\sum_{n=1}^M\exp\lbrace \gamma_n'z_{t-1} \rbrace}$, where $\gamma_m$ are coefficient vectors, $\gamma_M=0$, and $z_{t-1}$ $(k\times 1)$ is the vector containing a constant and the (lagged) switching variables.

"exponential":

$M=2$, $\alpha_{1,t}=1-\alpha_{2,t}$, and $\alpha_{2,t}=1-\exp\lbrace -\gamma(y_{it-j}-c) \rbrace$, where $y_{it-j}$ is the lag $j$ observation of the $i$th variable, $c$ is a location parameter, and $\gamma > 0$ is a scale parameter.

"threshold":

$\alpha_{m,t} = 1$ if $r_{m-1}<y_{it-j}\leq r_{m}$ and $0$ otherwise, where $-\infty\equiv r_0<r_1<\cdots <r_{M-1}<r_M\equiv\infty$ are thresholds $y_{it-j}$ is the lag $j$ observation of the $i$th variable.

"exogenous":

Exogenous nonrandom transition weights, specify the weight series in weightfun_pars.

See the vignette for more details about the weight functions.

weightfun_pars

If weight_function == "relative_dens":: Not used.

If weight_function %in% c("logistic", "exponential", "threshold"):

a numeric vector with the switching variable $i\in\lbrace 1,...,d \rbrace$ in the first and the lag $j\in\lbrace 1,...,p \rbrace$ in the second element.

If weight_function == "mlogit":

a list of two elements:

The first element $vars:: a numeric vector containing the variables that should used as switching variables in the weight function in an increasing order, i.e., a vector with unique elements in $\lbrace 1,...,d \rbrace$.

The second element $lags:

an integer in $\lbrace 1,...,p \rbrace$ specifying the number of lags to be used in the weight function.

If weight_function == "exogenous":

a size (nrow(data) - p x M) matrix containing the exogenous transition weights as [t, m] for time $t$ and regime $m$. Each row needs to sum to one and only weakly positive values are allowed.

cond_dist

specifies the conditional distribution of the model as "Gaussian", "Student", "ind_Student", or "ind_skewed_t", where "ind_Student" the Student's $t$ distribution with independent components, and "ind_skewed_t" is the skewed $t$ distribution with independent components (see Hansen, 1994).

AR_constraints

a size $(Mpd^2 \times q)$ constraint matrix $C$ specifying linear constraints to the autoregressive parameters. The constraints are of the form $(\varphi_{1},...,\varphi_{M}) = C\psi$, where $\varphi_{m} = (vec(A_{m,1}),...,vec(A_{m,p})) \ (pd^2 \times 1),\ m=1,...,M$, contains the coefficient matrices and $\psi$ $(q \times 1)$ contains the related parameters. For example, to restrict the AR-parameters to be the identical across the regimes, set $C =$ [I:...:I]' $(Mpd^2 \times pd^2)$ where I = diag(p*d^2).

mean_constraints

Restrict the mean parameters of some regimes to be identical? Provide a list of numeric vectors such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if M=3, the argument list(1, 2:3) restricts the mean parameters of the second and third regime to be identical but the first regime has freely estimated (unconditional) mean. Ignore or set to NULL if mean parameters should not be restricted to be the same among any regimes. This constraint is available only for mean parametrized models; that is, when parametrization="mean".

weight_constraints

a list of two elements, $R$ in the first element and $r$ in the second element, specifying linear constraints on the transition weight parameters $\alpha$. The constraints are of the form $\alpha = R\xi + r$, where $R$ is a known $(a\times l)$ constraint matrix of full column rank ($a$ is the dimension of $\alpha$), $r$ is a known $(a\times 1)$ constant, and $\xi$ is an unknown $(l\times 1)$ parameter. Alternatively, set $R=0$ to constrain the weight parameters to the constant $r$ (in this case, $\alpha$ is dropped from the constrained parameter vector).

Details

This function is internally used by GAfit and fitSTVAR, so structural models or B_constraints are not supported.