alt_gsmvar {gmvarkit} | R Documentation |
Construct a GMVAR, StMVAR, or G-StMVAR model based on results from an arbitrary estimation round of fitGSMVAR
Description
alt_gsmvar
constructs a GMVAR, StMVAR, or G-StMVAR model based on results from
an arbitrary estimation round of fitGSMVAR
.
Usage
alt_gsmvar(
gsmvar,
which_round = 1,
which_largest,
calc_cond_moments = TRUE,
calc_std_errors = TRUE
)
Arguments
gsmvar |
an object of class |
which_round |
based on which estimation round should the model be constructed? An integer value in 1,..., |
which_largest |
based on estimation round with which largest log-likelihood should the model be constructed?
An integer value in 1,..., |
calc_cond_moments |
should conditional means and covariance matrices should be calculated?
Default is |
calc_std_errors |
should approximate standard errors be calculated? |
Details
It's sometimes useful to examine other estimates than the one with the highest log-likelihood. This function
is wrapper around GSMVAR
that picks the correct estimates from an object returned by fitGSMVAR
.
Value
Returns an object of class 'gsmvar'
defining the specified reduced form or structural GMVAR,
StMVAR, or G-StMVAR model. Can be used to work with other functions provided in gmvarkit
.
Note that the first autocovariance/correlation matrix in $uncond_moments
is for the lag zero,
the second one for the lag one, etc.
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Kalliovirta L. and Saikkonen P. 2010. Reliable Residuals for Multivariate Nonlinear Time Series Models. Unpublished Revision of HECER Discussion Paper No. 247.
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 Unpublished working paper, available as arXiv:2109.13648.
See Also
fitGSMVAR
, GSMVAR
, iterate_more
, update_numtols
Examples
# GMVAR(1,2) model
fit12 <- fitGSMVAR(gdpdef, p=1, M=2, ncalls=2, seeds=4:5)
fit12
fit12_2 <- alt_gsmvar(fit12, which_largest=2)
fit12_2