Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

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Documentation for package ‘sstvars’ version 1.2.1

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sstvars-package sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models
acidata U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data
alt_stvar Construct a STVAR model based on results from an arbitrary estimation round of 'fitSTVAR'
bound_JSR Calculate upper bound for the joint spectral radius of the "companion form AR matrices" of the regimes
bound_jsr_G Calculate upper bound for the joint spectral radius of a set of matrices
calc_gradient Calculate gradient or Hessian matrix
calc_hessian Calculate gradient or Hessian matrix
cfact_fore Simulate counterfactual forecast scenarios for structural STVAR models.
cfact_girf Simulate counterfactual generalized impulse response functions for structural STVAR models.
cfact_hist Simulate historical counterfactual for structural STVAR models.
check_params Check whether the parameter vector is in the parameter space and throw error if not
diagnostic_plot Residual diagnostic plot for a STVAR model
diag_Omegas Simultaneously diagonalize two covariance matrices
filter_estimates Filter inappropriate the estimates produced by fitSTVAR
fitSSTVAR Maximum likelihood estimation of a structural STVAR model based on preliminary estimates from a reduced form model.
fitSTVAR Two-phase or three-phase (penalized) maximum likelihood estimation of a reduced form smooth transition VAR model
GAfit Genetic algorithm for preliminary estimation of reduced form STVAR models
gdpdef U.S. real GDP percent change and GDP implicit price deflator percent change
get_foc Calculate gradient or Hessian matrix
get_gradient Calculate gradient or Hessian matrix
get_hessian Calculate gradient or Hessian matrix
get_hetsked_sstvar Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity
get_soc Calculate gradient or Hessian matrix
GFEVD Estimate generalized forecast error variance decomposition for structural STVAR models.
GIRF Estimate generalized impulse response function for structural STVAR models.
hist_decomp Compute historical decompositions for structural STVAR models.
in_paramspace Determine whether the parameter vector is in the parameter space
iterate_more Maximum likelihood estimation of a reduced form or structural STVAR model based on preliminary estimates
linear_IRF Estimate linear impulse response function based on a single regime of a structural STVAR model.
logLik.stvar Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
LR_test Perform likelihood ratio test for a STVAR model
plot.cfactfore Simulate counterfactual forecast scenarios for structural STVAR models.
plot.cfactgirf Simulate counterfactual generalized impulse response functions for structural STVAR models.
plot.cfacthist Simulate historical counterfactual for structural STVAR models.
plot.gfevd Estimate generalized forecast error variance decomposition for structural STVAR models.
plot.girf Estimate generalized impulse response function for structural STVAR models.
plot.histdecomp Compute historical decompositions for structural STVAR models.
plot.irf Estimate linear impulse response function based on a single regime of a structural STVAR model.
plot.stvar Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
plot.stvarpred Predict method for class 'stvar' objects
plot_struct_shocks Plot structural shock time series of a STVAR model
Portmanteau_test Perform adjusted Portmanteau test for a STVAR model
predict.stvar Predict method for class 'stvar' objects
print.cfactfore Simulate counterfactual forecast scenarios for structural STVAR models.
print.cfactgirf Simulate counterfactual generalized impulse response functions for structural STVAR models.
print.cfacthist Simulate historical counterfactual for structural STVAR models.
print.gfevd Estimate generalized forecast error variance decomposition for structural STVAR models.
print.girf Estimate generalized impulse response function for structural STVAR models.
print.histdecomp Compute historical decompositions for structural STVAR models.
print.hypotest Print method for the class hypotest
print.irf Estimate linear impulse response function based on a single regime of a structural STVAR model.
print.stvar Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
print.stvarpred Predict method for class 'stvar' objects
print.stvarsum Summary print method from objects of class 'stvarsum'
profile_logliks Plot profile log-likelihood functions about the estimates
Rao_test Perform Rao's score test for a STVAR model
redecompose_Omegas In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the ordering of the covariance matrices.
reorder_B_columns Reorder columns of impact matrix B of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity.
residuals.stvar Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
simulate.stvar Simulate method for class 'stvar' objects
sstvars sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models
STVAR Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
stvar_to_sstvars110 Update STVAR model estimated with a version of the package <1.1.0 to be compatible with the versions >=1.1.0.
summary.stvar Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
swap_B_signs Swap all signs in pointed columns of the impact matrix of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity
swap_parametrization Swap the parametrization of a STVAR model
uncond_moments Calculate the unconditional means, variances, the first p autocovariances, and the first p autocorrelations of the regimes of the model.
usacpu U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,
usamone U.S. real GDP, GDP implicit price deflator, and interest rate data
Wald_test Perform Wald test for a STVAR model