Number of nonzero entries on the lower-triangular parts of
A1, ..., Ap
const_vector
constant vector c of the VAR model
range_min, range_max
Each nonzero off-diagonal entry of coefficient
matrices is drawn uniformly from the interval
[-range_max, -range_min] U [range_min, range_max]
Value
A list object with components $A and $c. $A is a list of K-by-K
matrices A_1, ..., A_p, and $c is a constant vector of length K.
Details
Consider VAR(p) model:
$$y_t = A_1 y_{t-1} + ... + A_p y_{t-p} + c + e_t,$$
with the constant deterministic variable (d_t = 1).
The function creates the coefficient matrices A_1, ..., A_p and constant
vector c.
Diagonal elements of each K-by-K matrix A_k are all equal to diag_val,
and off-diagonal elements are all zero except for a few randomly selected
nonzero elements. Nonzero off-diagonal elements are selected from
lower-triangular parts of A_i and the values are drawn from a uniform
distribution over [-range_max, -range_min] U [range_min, range_max].