cond_moments {gmvarkit} | R Documentation |
Compute conditional moments of a GMVAR, StMVAR, or G-StMVAR model
Description
cond_moments
compute conditional regimewise means, conditional means, and conditional covariance matrices
of a GMVAR, StMVAR, or G-StMVAR model.
Usage
cond_moments(
data,
p,
M,
params,
model = c("GMVAR", "StMVAR", "G-StMVAR"),
parametrization = c("intercept", "mean"),
constraints = NULL,
same_means = NULL,
weight_constraints = NULL,
structural_pars = NULL,
to_return = c("regime_cmeans", "regime_ccovs", "total_cmeans", "total_ccovs",
"arch_scalars"),
minval = NA,
stat_tol = 0.001,
posdef_tol = 1e-08,
df_tol = 1e-08
)
Arguments
data |
a matrix or class |
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
model |
is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first |
parametrization |
|
constraints |
a size |
same_means |
Restrict the mean parameters of some regimes to be the same? Provide a list of numeric vectors
such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if
|
weight_constraints |
a numeric vector of length |
structural_pars |
If
See Virolainen (forthcoming) for the conditions required to identify the shocks and for the B-matrix as well (it is |
to_return |
should the regimewise conditional means, total conditional means, or total conditional covariance matrices be returned? |
minval |
the value that will be returned if the parameter vector does not lie in the parameter space (excluding the identification condition). |
stat_tol |
numerical tolerance for stationarity of the AR parameters: if the "bold A" matrix of any regime
has eigenvalues larger that |
posdef_tol |
numerical tolerance for positive definiteness of the error term covariance matrices: if the error term covariance matrix of any regime has eigenvalues smaller than this, the model is classified as not satisfying positive definiteness assumption. Note that if the tolerance is too small, numerical evaluation of the log-likelihood might fail and cause error. |
df_tol |
the parameter vector is considered to be outside the parameter space if all degrees of
freedom parameters are not larger than |
Details
The first p values are used as the initial values, and by conditional we mean conditioning on the past. Formulas for the conditional means and covariance matrices are given in equations (3) and (4) of KMS (2016).
Value
- If
to_return=="regime_cmeans"
: an
[T-p, d, M]
array containing the regimewise conditional means (the first p values are used as the initial values).- If
to_return=="regime_ccovs"
: an
[d, d, T-p, M]
array containing the regimewise conditional covariance matrices (the first p values are used as the initial values). The index[ , , t, m]
gives the timet
conditional covariance matrix for the regimem
.- If
to_return=="total_cmeans"
: a
[T-p, d]
matrix containing the conditional means of the process (the first p values are used as the initial values).- If
to_return=="total_ccov"
: an
[d, d, T-p]
array containing the conditional covariance matrices of the process (the first p values are used as the initial values).- If
to_return=="arch_scalars"
: a
[T-p, M]
matrix containing the regimewise arch scalars multiplying error term covariance matrix in the conditional covariance matrix of the regime. For GMVAR type regimes, these are all ones (the first p values are used as the initial values).
References
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.
McElroy T. 2017. Computation of vector ARMA autocovariances. Statistics and Probability Letters, 124, 92-96.
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
Other moment functions:
get_regime_autocovs()
,
get_regime_means()
,
uncond_moments()
Examples
# GMVAR(2, 2), d=2 model;
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
cond_moments(data=gdpdef, p=2, M=2, params=params22, to_return="regime_cmeans")
cond_moments(data=gdpdef, p=2, M=2, params=params22, to_return="total_cmeans")
cond_moments(data=gdpdef, p=2, M=2, params=params22, to_return="total_ccovs")