bvartools (version 0.3.0)

sur_const_to_tvp: SUR Matrix Transformation

Description

Transforms a dense matrix of dimensions \(KT \times M\) into a sparse block diagonal matrix of dimensions \(KT \times MT\).

Usage

sur_const_to_tvp(z, k, tt)

Value

A sparse block diagonal matrix of dimensions \(KT \times MT\).

Arguments

z

a \(KT \times M\) matrix.

k

integer of the number of endogenous variables.

tt

integer of the number of observations.

Examples

# Specify the dimensions of the dense matrix
k <- 2
tt <- 5
m <- 3

# Generate artificial data
z <- matrix(NA, k * tt, m)
for (i in 1:tt) {
  z[(i - 1) * k + 1:k, ] <- i
}

# Perform transformation
sur_const_to_tvp(z, k, tt)