get_allA_yti {sstvars} | R Documentation |
Compute the autoregression matrices A_{y,t,i}\equiv \sum_{m=1}^M\alpha_{m,t}A_{m,i}
for all lags i=1,...,p
for a single time period
Description
get_allA_yti
computes the autoregression matrices A_{y,t,i}\equiv \sum_{m=1}^M\alpha_{m,t}A_{m,i}
, for all lags i=1,...,p
for a single time period, based on the regime autoregression matrices and transition weights.
Usage
get_allA_yti(all_A, alpha_mt)
Arguments
all_A |
4D array containing the coefficient matrices of all regimes so that coefficient matrix
|
alpha_mt |
an |
Details
This is used in simulation of the counterfactual scenarios.
Value
Returns the 3D array containing the coefficient matrices for the given time period so that the lag i
coefficient matrix A_{y,t,i}
can be obtained by choosing [, , i]
.
[Package sstvars version 1.2.1 Index]