regime_distance {sstvars} | R Documentation |
Calculate "distance" between two (scaled) regimes
\upsilon_{m}
= (\phi_{m,0},
\phi_{m}
,\sigma_{m})
Description
regime_distance
calculates "distance" between two scaled regimes.
Usage
regime_distance(regime_pars1, regime_pars2)
Arguments
regime_pars1 |
a length |
regime_pars2 |
a length |
Value
Returns "distance" between regime_pars1
and regime_pars2
. Values are scaled
before calculating the "distance". Read the source code for more details.
Warning
No argument checks!
References
Kheifets I.L., Saikkonen P.J. 2020. Stationarity and ergodicity of Vector STAR models. Econometric Reviews, 39:4, 407-414.
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
Lanne M., Virolainen S. 2024. A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. Unpublished working paper, available as arXiv:2403.14216.
Virolainen S. 2024. Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. Unpublished working paper, available as arXiv:2404.19707.
@keywords internal