form_boldA {gmvarkit} | R Documentation |
Form the ((dp)x(dp))
"bold A" matrices related to the VAR processes
Description
form_boldA
creates the "bold A" coefficient matrices related to
VAR processes.
Usage
form_boldA(p, M, d, all_A)
Arguments
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
d |
the number of time series in the system. |
all_A |
4D array containing all coefficient matrices |
Value
Returns 3D array containing the ((dp)x(dp))
"bold A" matrices related to each component VAR-process.
The matrix A_{m}
can be obtained by choosing [, , m]
.
Warning
No argument checks!
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal