get_phi_yt {sstvars}R Documentation

Compute the intercept \phi_{y,t}=\sum_{m=1}^M \alpha_{mt} \phi_{m} parameter value for a single time period

Description

get_phi_yt computes the intercept \phi_{y,t}=\sum_{m=1}^M \alpha_{mt} \phi_{m} parameter value for a single time period based on the regime intercepts and transition weights.

Usage

get_phi_yt(all_phi0, alpha_mt)

Arguments

all_phi0

a (d \times M) matrix such that the mth column contains the intercept parameters of the mth regime.

alpha_mt

an (M \times 1) vector containing the time period t transition weights.

Details

This is used in simulation of the counterfactual scenarios.

Value

Returns the (d \times 1) vector of the intercept parameter values for the time period t.


[Package sstvars version 1.2.1 Index]