| sstvars-package | sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models |
| acidata | U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data |
| alt_stvar | Construct a STVAR model based on results from an arbitrary estimation round of 'fitSTVAR' |
| bound_JSR | Calculate upper bound for the joint spectral radius of the "companion form AR matrices" of the regimes |
| bound_jsr_G | Calculate upper bound for the joint spectral radius of a set of matrices |
| calc_gradient | Calculate gradient or Hessian matrix |
| calc_hessian | Calculate gradient or Hessian matrix |
| cfact_fore | Simulate counterfactual forecast scenarios for structural STVAR models. |
| cfact_girf | Simulate counterfactual generalized impulse response functions for structural STVAR models. |
| cfact_hist | Simulate historical counterfactual for structural STVAR models. |
| check_params | Check whether the parameter vector is in the parameter space and throw error if not |
| diagnostic_plot | Residual diagnostic plot for a STVAR model |
| diag_Omegas | Simultaneously diagonalize two covariance matrices |
| filter_estimates | Filter inappropriate the estimates produced by fitSTVAR |
| fitSSTVAR | Maximum likelihood estimation of a structural STVAR model based on preliminary estimates from a reduced form model. |
| fitSTVAR | Two-phase or three-phase (penalized) maximum likelihood estimation of a reduced form smooth transition VAR model |
| GAfit | Genetic algorithm for preliminary estimation of reduced form STVAR models |
| gdpdef | U.S. real GDP percent change and GDP implicit price deflator percent change |
| get_foc | Calculate gradient or Hessian matrix |
| get_gradient | Calculate gradient or Hessian matrix |
| get_hessian | Calculate gradient or Hessian matrix |
| get_hetsked_sstvar | Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity |
| get_soc | Calculate gradient or Hessian matrix |
| GFEVD | Estimate generalized forecast error variance decomposition for structural STVAR models. |
| GIRF | Estimate generalized impulse response function for structural STVAR models. |
| hist_decomp | Compute historical decompositions for structural STVAR models. |
| in_paramspace | Determine whether the parameter vector is in the parameter space |
| iterate_more | Maximum likelihood estimation of a reduced form or structural STVAR model based on preliminary estimates |
| linear_IRF | Estimate linear impulse response function based on a single regime of a structural STVAR model. |
| logLik.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| LR_test | Perform likelihood ratio test for a STVAR model |
| plot.cfactfore | Simulate counterfactual forecast scenarios for structural STVAR models. |
| plot.cfactgirf | Simulate counterfactual generalized impulse response functions for structural STVAR models. |
| plot.cfacthist | Simulate historical counterfactual for structural STVAR models. |
| plot.gfevd | Estimate generalized forecast error variance decomposition for structural STVAR models. |
| plot.girf | Estimate generalized impulse response function for structural STVAR models. |
| plot.histdecomp | Compute historical decompositions for structural STVAR models. |
| plot.irf | Estimate linear impulse response function based on a single regime of a structural STVAR model. |
| plot.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| plot.stvarpred | Predict method for class 'stvar' objects |
| plot_struct_shocks | Plot structural shock time series of a STVAR model |
| Portmanteau_test | Perform adjusted Portmanteau test for a STVAR model |
| predict.stvar | Predict method for class 'stvar' objects |
| print.cfactfore | Simulate counterfactual forecast scenarios for structural STVAR models. |
| print.cfactgirf | Simulate counterfactual generalized impulse response functions for structural STVAR models. |
| print.cfacthist | Simulate historical counterfactual for structural STVAR models. |
| print.gfevd | Estimate generalized forecast error variance decomposition for structural STVAR models. |
| print.girf | Estimate generalized impulse response function for structural STVAR models. |
| print.histdecomp | Compute historical decompositions for structural STVAR models. |
| print.hypotest | Print method for the class hypotest |
| print.irf | Estimate linear impulse response function based on a single regime of a structural STVAR model. |
| print.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| print.stvarpred | Predict method for class 'stvar' objects |
| print.stvarsum | Summary print method from objects of class 'stvarsum' |
| profile_logliks | Plot profile log-likelihood functions about the estimates |
| Rao_test | Perform Rao's score test for a STVAR model |
| redecompose_Omegas | In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the ordering of the covariance matrices. |
| reorder_B_columns | Reorder columns of impact matrix B of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity. |
| residuals.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| simulate.stvar | Simulate method for class 'stvar' objects |
| sstvars | sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models |
| STVAR | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| stvar_to_sstvars110 | Update STVAR model estimated with a version of the package <1.1.0 to be compatible with the versions >=1.1.0. |
| summary.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model |
| swap_B_signs | Swap all signs in pointed columns of the impact matrix of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity |
| swap_parametrization | Swap the parametrization of a STVAR model |
| uncond_moments | Calculate the unconditional means, variances, the first p autocovariances, and the first p autocorrelations of the regimes of the model. |
| usacpu | U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index, |
| usamone | U.S. real GDP, GDP implicit price deflator, and interest rate data |
| Wald_test | Perform Wald test for a STVAR model |