gmvarkit (version 2.1.4)

get_omega_eigens: Calculate the eigenvalues of the "Omega" error term covariance matrices

Description

get_omega_eigens calculates the eigenvalues of the "Omega" error term covariance matrices for each mixture component.

Usage

get_omega_eigens(gsmvar)

Value

Returns a matrix with \(d\) rows and \(M\) columns - one column for each regime. The \(m\)th column contains the eigenvalues of the "Omega" error term covariance matrix of the \(m\)th regime.

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.

• Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.

@keywords internal

Examples

# GMVAR(2, 2), d=2 model
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GSMVAR(p=2, M=2, d=2, params=params22)
get_omega_eigens(mod22)