GAfit                   Genetic algorithm for preliminary estimation of
                        a STVAR models
GFEVD                   Estimate generalized forecast error variance
                        decomposition for structural STVAR models.
GIRF                    Estimate generalized impulse response function
                        for structural STVAR models.
LR_test                 Perform likelihood ratio test for a STVAR model
Portmanteau_test        Perform adjusted Portmanteau test for a STVAR
                        model
Rao_test                Perform Rao's score test for a STVAR model
STVAR                   Create a class 'stvar' object defining a
                        reduced form or structural smooth transition
                        VAR model
Wald_test               Perform Wald test for a STVAR model
acidata                 A monthly U.S. data covering the period from
                        1961I to 2022III (735 observations) and
                        consisting four variables. First, The Actuaries
                        Climate Index (ACI), which is a measure of the
                        frequency of severe weather and the extend
                        changes in sea levels. Second, the monthly GDP
                        growth rate constructed by the Federal Reserve
                        Bank of Chicago from a collapsed dynamic factor
                        analysis of a panel of 500 monthly measures of
                        real economic activity and quarterly real GDP
                        growth. Third, the monthly growth rate of the
                        consumer price index (CPI). Third, an interest
                        rate variable, which is the effective federal
                        funds rate that is replaced by the the Wu and
                        Xia (2016) shadow rate during zero-lower-bound
                        periods. The Wu and Xia (2016) shadow rate is
                        not bounded by the zero lower bound and also
                        quantifies unconventional monetary policy
                        measures, while it closely follows the federal
                        funds rate when the zero lower bound does not
                        bind.
alt_stvar               Construct a STVAR model based on results from
                        an arbitrary estimation round of 'fitSTVAR'
bound_JSR               Calculate upper bound for the joint spectral
                        radius of the "companion form AR matrices" of
                        the regimes
bound_jsr_G             Calculate upper bound for the joint spectral
                        radius of a set of matrices
calc_gradient           Calculate gradient or Hessian matrix
check_params            Check whether the parameter vector is in the
                        parameter space and throw error if not
diag_Omegas             Simultaneously diagonalize two covariance
                        matrices
diagnostic_plot         Residual diagnostic plot for a STVAR model
fitSSTVAR               Maximum likelihood estimation of a structural
                        STVAR model based on preliminary estimates from
                        a reduced form model.
fitSTVAR                Two-phase maximum likelihood estimation of a
                        reduced form smooth transition VAR model
gdpdef                  U.S. real GDP percent change and GDP implicit
                        price deflator percent change.
get_hetsked_sstvar      Switch from two-regime reduced form STVAR model
                        to a structural model identified by
                        heteroskedasticity
in_paramspace           Determine whether the parameter vector is in
                        the parameter space
iterate_more            Maximum likelihood estimation of a reduced form
                        or structural STVAR model based on preliminary
                        estimates
linear_IRF              Estimate linear impulse response function based
                        on a single regime of a structural STVAR model.
plot.stvarpred          Predict method for class 'stvar' objects
print.hypotest          Print method for the class hypotest
print.stvarsum          Summary print method from objects of class
                        'stvarsum'
profile_logliks         Plot profile log-likelihood functions about the
                        estimates
redecompose_Omegas      In the decomposition of the covariance matrices
                        (Muirhead, 1982, Theorem A9.9), change the
                        ordering of the covariance matrices.
reorder_B_columns       Reorder columns of impact matrix B (and lambda
                        parameters if any) of a structural STVAR model
                        that is identified by heteroskedasticity or
                        non-Gaussianity.
simulate.stvar          Simulate method for class 'stvar' objects
sstvars-package         sstvars: toolkit for reduced form and
                        structural smooth transition vector
                        autoregressive models
swap_B_signs            Swap all signs in pointed columns of the impact
                        matrix of a structural STVAR model that is
                        identified by heteroskedasticity or
                        non-Gaussianity
swap_parametrization    Swap the parametrization of a STVAR model
uncond_moments          Calculate the unconditional means, variances,
                        the first p autocovariances, and the first p
                        autocorrelations of the regimes of the model.
usacpu                  A monthly U.S. data covering the period from
                        1987:4 to 2024:2 (443 observations) and
                        consisting six variables. First, the climate
                        policy uncertainty index (CPUI) (Gavridiilis,
                        2021), which is a news based measure of climate
                        policy uncertainty. Second, the economic policy
                        uncertainty index (EPUI), which is a news based
                        measure of economic policy uncertainty. Third,
                        the log-difference of real indsitrial
                        production index (IPI). Fourth, the
                        log-difference of the consumer price index
                        (CPI). Fifth, the log-difference of the
                        producer price index (PPI). Sixth, an interest
                        rate variable, which is the effective federal
                        funds rate that is replaced by the the Wu and
                        Xia (2016) shadow rate during zero-lower-bound
                        periods. The Wu and Xia (2016) shadow rate is
                        not bounded by the zero lower bound and also
                        quantifies unconventional monetary policy
                        measures, while it closely follows the federal
                        funds rate when the zero lower bound does not
                        bind.
usamone                 A quarterly U.S. data covering the period from
                        1954Q3 to 2021Q4 (270 observations) and
                        consisting three variables: cyclical component
                        of the log of real GDP, the log-difference of
                        GDP implicit price deflator, and an interest
                        rate variable. The interest rate variable is
                        the effective federal funds rate from 1954Q3 to
                        2008Q2 and after that the Wu and Xia (2016)
                        shadow rate, which is not constrained by the
                        zero lower bound and also quantifies
                        unconventional monetary policy measures. The
                        log-differences of the GDP deflator and
                        producer price index are multiplied by hundred.
