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MSTest (version 0.1.5)

simuMSVAR_cpp: Simulate Markov-switching vector autoregressive process

Description

This function simulates a Markov-switching vector autoregressive process.

Usage

simuMSVAR_cpp(mdl_h0, burnin = 100L)

Value

List with simulated vector autoregressive series and its DGP parameters.

Arguments

mdl_h0

List containing the following DGP parameters

  • n: Length of series.

  • k: Number of regimes.

  • mu: A (k x q) matrix of means.

  • sigma: List with k (q x q) covariance matrices.

  • phi: A (q x qp) matrix of autoregressive coefficients.

  • p: Number of autoregressive lags.

  • q: Number of series.

  • P: A (k x k) transition matrix (columns must sum to one).

  • eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.

burnin

Number of simulated observations to remove from beginning. Default is 100.