sstvars

MaRDI QIDQ7373767CRANFDO

Authors Savi Virolainen

Last update 4 August 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.0, 1.0.1, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.1.6, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.2.4, 1.2.5

Description

Penalized and non-penalized maximum likelihood estimation of smooth transition vector autoregressive models with various types of transition weight functions, conditional distributions, and identification methods. Constrained estimation with various types of constraints is available. Residual based model diagnostics, forecasting, simulations, counterfactual analysis, and computation of impulse response functions, generalized impulse response functions, generalized forecast error variance decompositions, as well as historical decompositions. See Heather Anderson, Farshid Vahid (1998) <doi:10.1016/S0304-4076(97)00076-6>, Helmut Lütkepohl, Aleksei Netšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>, Markku Lanne, Savi Virolainen (2025) <doi:10.1016/j.jedc.2025.105162>, Savi Virolainen (2026) <doi:10.1080/07474938.2026.2673986>.

Cites work

• A Gaussian smooth transition vector autoregressive model: an application to the macroeconomic effects of severe weather shocks
• Identification by non-Gaussianity in structural smooth transition vector autoregressive models
• Structural vector autoregressions with smooth transition in variances
• Testing multiple equation systems for common nonlinear components

This page was built for software: sstvars