sstvars 1.0.0
sstvars 1.0.1
- Updated configure script to fix an issue with the installation on
Mac OS X.
sstvars 1.0.2
- Updated readme.
- Updated documentation.
sstvars 1.1.0
- 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.