Package: sstvars 1.1.0
sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models
Maximum likelihood estimation of smooth transition vector autoregressive models with various types of transition weight functions, conditional distributions, and identification methods. Constrained estimation with various types of constraints is available. Residual based model diagnostics, forecasting, simulations, and calculation of impulse response functions, generalized impulse response functions, and generalized forecast error variance decompositions. See Heather Anderson, Farshid Vahid (1998) <doi:10.1016/S0304-4076(97)00076-6>, Helmut Lütkepohl, Aleksei Netšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>, Markku Lanne, Savi Virolainen (2024) <doi:10.48550/arXiv.2403.14216>, Savi Virolainen (2024) <doi:10.48550/arXiv.2404.19707>.
Authors:
sstvars_1.1.0.tar.gz
sstvars_1.1.0.tar.gz(r-4.5-noble)sstvars_1.1.0.tar.gz(r-4.4-noble)
sstvars_1.1.0.tgz(r-4.4-emscripten)sstvars_1.1.0.tgz(r-4.3-emscripten)
sstvars.pdf |sstvars.html✨
sstvars/json (API)
NEWS
# Install 'sstvars' in R: |
install.packages('sstvars', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/saviviro/sstvars/issues
- acidata - A monthly U.S. data covering the period from 1961I to 2022III (735 observations) and consisting four variables. First, The Actuaries Climate Index (ACI), which is a measure of the frequency of severe weather and the extend changes in sea levels. Second, the monthly GDP growth rate constructed by the Federal Reserve Bank of Chicago from a collapsed dynamic factor analysis of a panel of 500 monthly measures of real economic activity and quarterly real GDP growth. Third, the monthly growth rate of the consumer price index (CPI). Third, an interest rate variable, which is the effective federal funds rate that is replaced by the the Wu and Xia (2016) shadow rate during zero-lower-bound periods. The Wu and Xia (2016) shadow rate is not bounded by the zero lower bound and also quantifies unconventional monetary policy measures, while it closely follows the federal funds rate when the zero lower bound does not bind.
- gdpdef - U.S. real GDP percent change and GDP implicit price deflator percent change.
- usacpu - A monthly U.S. data covering the period from 1987:4 to 2024:2
- usamone - A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting three variables: cyclical component of the log of real GDP, the log-difference of GDP implicit price deflator, and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP deflator and producer price index are multiplied by hundred.
Last updated 8 days agofrom:fa6b1de4c3. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 30 2024 |
R-4.5-linux-x86_64 | OK | Nov 30 2024 |
Exports:alt_stvarbound_JSRbound_jsr_Gcalc_gradientcalc_hessiancheck_paramsdiag_Omegasdiagnostic_plotfilter_estimatesfitSSTVARfitSTVARget_focget_gradientget_hessianget_socGFEVDGIRFiterate_morelinear_IRFLR_testplot_struct_shocksPortmanteau_testprofile_logliksRao_testredecompose_Omegasreorder_B_columnsSTVARstvar_to_sstvars110swap_B_signsswap_parametrizationuncond_momentsWald_test
Dependencies:pbapplyRcppRcppArmadillo