NEWS
sstvars 1.1.1 (2024-12-07)
- Now also the NLS step in the three-phase estimation estimation checks that there are enough observations from each regime
(previously only LS estimation checked this).
- Added the argument min_obs_coef to fitSTVAR to let the user to control the smallest accepted number of observations from each regime in
the LS/NLS step of the three-phase estimation. Also increased its default value.
- Now alt_stvar, iterate_more, and filter_estimates retain LS_estimates if the original model contains them.
- Now summary printout of class sstvar objects tells if the log-likelihood function is penalized.
- Fixed CRAN check issues.
sstvars 1.1.0 (2024-11-29)
- MAJOR: Implemented independent skewed t distribution as a new conditional distribution.
- MAJOR: Implemented a three phase estimation for TVAR models to enhance computational efficiency.
- MAJOR: Implemented a possibility to maximize penalized log-likelihood function that penalizes from unstable and close-to-unstable estimates.
Significantly improves the performance of the estimation algorithm in some cases, particularly when the time series are very persistent.
- Estimates not satisfying the usual stability condition for the regimes can now be allowed.
- Adjusted the step sizes in finite difference numerical differentiation.
- The step size in finite difference numerical differentiation can now be adjusted in the function iterate_more.
- Changed the random parameter generation for ind_Student models (estimation results with specific seeds are not backward compatible).
- A new function: filter_estimates, which can be used considers includes estimates that are not deemed inappropriate).
- A new function: plot_struct_shocks, which plots the structural shock time series.
- A new function: stvar_to_sstvars110, which makes STVAR models estimated with package versions <1.1.0 compatible with package versions >=1.1.0.
- Some adjustments to estimation with fitSTVAR. NOTE: estimation results with a particular seed may be different to the earlier version.
- Removed the argument "filter_estimates" from fitSTVAR as a redundancy (it is now always applied), since the function alt_stvar can in
any case be used to browse the estimates from any estimation round.
- Added a new functionality to fitSSTVAR: structural models identified by non-Gaussianity can be estimated based on different orderings
or signs of the columns of any of B_1,...,B_M (to conveniently examine models corresponding to various orderings and signs in the presence
of weak identification with respect to ordering or signs of the columns of B_2,...,B_M)
- FIXED A BUG in the simulation algorithm for models incorporating independent Student's t conditional distributions
(the variance of each structural shock was not scaled to one).
- FIXED A BUG in the GIRF simulation algorithm: the transition weights were not necessarily high for 'init_regime' at impact (but
the initial values were generated from the correct regimes).
- Made the function profile_logliks more user friendly.
- Added a simplified table of contents to the vignette.
- The argument standard_error_print can now be used directly in the summary-function to obtain printout of standard errors.
- Updated the documentation.
sstvars 1.0.2
- Updated readme.
- Updated documentation.
sstvars 1.0.1 (2024-05-29)
- Updated configure script to fix an issue with the installation on Mac OS X.
sstvars 1.0.0 (2024-05-27)