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  "Title": "Toolkit for Reduced Form and Structural Smooth Transition Vector\nAutoregressive Models",
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  "Authors@R": "person(\"Savi\", \"Virolainen\",\nemail = \"savi.virolainen@helsinki.fi\",\nrole = c(\"aut\", \"cre\"),\ncomment = c(ORCID = \"https://orcid.org/0000-0002-5075-6821\"))",
  "Author": "Savi Virolainen [aut, cre]\n(<https://orcid.org/0000-0002-5075-6821>)",
  "Maintainer": "Savi Virolainen <savi.virolainen@helsinki.fi>",
  "Description": "Penalized and non-penalized maximum likelihood estimation\nof smooth transition vector autoregressive models with various\ntypes of transition weight functions, conditional\ndistributions, and identification methods. Constrained\nestimation with various types of constraints is available.\nResidual based model diagnostics, forecasting, simulations,\ncounterfactual analysis, and computation of impulse response\nfunctions, generalized impulse response functions, generalized\nforecast error variance decompositions, as well as historical\ndecompositions. See Heather Anderson, Farshid Vahid (1998)\n<doi:10.1016/S0304-4076(97)00076-6>, Helmut Lütkepohl, Aleksei\nNetšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>, Markku\nLanne, Savi Virolainen (2025) <doi:10.1016/j.jedc.2025.105162>,\nSavi Virolainen (in press) <doi:10.1080/07474938.2026.2673986>.",
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    "bound_JSR",
    "bound_jsr_G",
    "calc_gradient",
    "calc_hessian",
    "cfact_fore",
    "cfact_girf",
    "cfact_hist",
    "check_params",
    "diag_Omegas",
    "diagnostic_plot",
    "filter_estimates",
    "fitSSTVAR",
    "fitSTVAR",
    "get_foc",
    "get_gradient",
    "get_hessian",
    "get_penalized_IC",
    "get_soc",
    "GFEVD",
    "GIRF",
    "hist_decomp",
    "iterate_more",
    "linear_IRF",
    "LR_test",
    "plot_struct_shocks",
    "Portmanteau_test",
    "profile_logliks",
    "Rao_test",
    "redecompose_Omegas",
    "reorder_B_columns",
    "STVAR",
    "stvar_to_sstvars110",
    "swap_B_signs",
    "swap_parametrization",
    "uncond_moments",
    "Wald_test"
  ],
  "_datasets": [
    {
      "name": "acidata",
      "title": "U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data",
      "object": "acidata",
      "class": [
        "mts",
        "ts",
        "matrix",
        "array"
      ],
      "fields": [
        "ACI",
        "MGDP",
        "CPI",
        "RATE"
      ],
      "rows": 735,
      "table": true,
      "tojson": true
    },
    {
      "name": "gdpdef",
      "title": "U.S. real GDP percent change and GDP implicit price deflator percent change",
      "object": "gdpdef",
      "class": [
        "mts",
        "ts",
        "matrix"
      ],
      "fields": [
        "GDP",
        "GDPDEF"
      ],
      "rows": 244,
      "table": true,
      "tojson": true
    },
    {
      "name": "usacpu",
      "title": "U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,",
      "object": "usacpu",
      "class": [
        "mts",
        "ts",
        "matrix",
        "array"
      ],
      "fields": [
        "CPUI",
        "EPUI",
        "IPI",
        "CPI",
        "RATE"
      ],
      "rows": 453,
      "table": true,
      "tojson": true
    },
    {
      "name": "usamone",
      "title": "U.S. real GDP, GDP implicit price deflator, and interest rate data",
      "object": "usamone",
      "class": [
        "mts",
        "ts",
        "matrix"
      ],
      "fields": [
        "GDP",
        "GDPDEF",
        "RATE"
      ],
      "rows": 270,
      "table": true,
      "tojson": true
    }
  ],
  "_help": [
    {
      "page": "sstvars-package",
      "title": "sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models",
      "topics": [
        "sstvars-package",
        "sstvars"
      ]
    },
    {
      "page": "acidata",
      "title": "U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data",
      "topics": [
        "acidata"
      ]
    },
    {
      "page": "alt_stvar",
      "title": "Construct a STVAR model based on results from an arbitrary estimation round of 'fitSTVAR'",
      "topics": [
        "alt_stvar"
      ]
    },
    {
      "page": "bound_JSR",
      "title": "Calculate upper bound for the joint spectral radius of the \"companion form AR matrices\" of the regimes",
      "topics": [
        "bound_JSR"
      ]
    },
    {
      "page": "bound_jsr_G",
      "title": "Calculate upper bound for the joint spectral radius of a set of matrices",
      "topics": [
        "bound_jsr_G"
      ]
    },
    {
      "page": "calc_gradient",
      "title": "Calculate gradient or Hessian matrix",
      "topics": [
        "calc_gradient",
        "calc_hessian",
        "get_foc",
        "get_gradient",
        "get_hessian",
        "get_soc"
      ]
    },
    {
      "page": "cfact_fore",
      "title": "Simulate counterfactual forecast scenarios for structural STVAR models.",
      "topics": [
        "cfact_fore",
        "plot.cfactfore",
        "print.cfactfore"
      ]
    },
    {
      "page": "cfact_girf",
      "title": "Simulate counterfactual generalized impulse response functions for structural STVAR models.",
      "topics": [
        "cfact_girf",
        "plot.cfactgirf",
        "print.cfactgirf"
      ]
    },
    {
      "page": "cfact_hist",
      "title": "Simulate historical counterfactual for structural STVAR models.",
      "topics": [
        "cfact_hist",
        "plot.cfacthist",
        "print.cfacthist"
      ]
    },
    {
      "page": "check_params",
      "title": "Check whether the parameter vector is in the parameter space and throw error if not",
      "topics": [
        "check_params"
      ]
    },
    {
      "page": "diag_Omegas",
      "title": "Simultaneously diagonalize two covariance matrices",
      "topics": [
        "diag_Omegas"
      ]
    },
    {
      "page": "diagnostic_plot",
      "title": "Residual diagnostic plot for a STVAR model",
      "topics": [
        "diagnostic_plot"
      ]
    },
    {
      "page": "filter_estimates",
      "title": "Filter inappropriate the estimates produced by fitSTVAR",
      "topics": [
        "filter_estimates"
      ]
    },
    {
      "page": "fitSSTVAR",
      "title": "Maximum likelihood estimation of a structural STVAR model based on preliminary estimates from a reduced form model.",
      "topics": [
        "fitSSTVAR"
      ]
    },
    {
      "page": "fitSTVAR",
      "title": "Two-phase or three-phase (penalized) maximum likelihood estimation of a reduced form smooth transition VAR model",
      "topics": [
        "fitSTVAR"
      ]
    },
    {
      "page": "GAfit",
      "title": "Genetic algorithm for preliminary estimation of reduced form STVAR models",
      "topics": [
        "GAfit"
      ]
    },
    {
      "page": "gdpdef",
      "title": "U.S. real GDP percent change and GDP implicit price deflator percent change",
      "topics": [
        "gdpdef"
      ]
    },
    {
      "page": "get_hetsked_sstvar",
      "title": "Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity",
      "topics": [
        "get_hetsked_sstvar"
      ]
    },
    {
      "page": "get_penalized_IC",
      "title": "Calculate penalized AIC, HQIC, and BIC",
      "topics": [
        "get_penalized_IC"
      ]
    },
    {
      "page": "GFEVD",
      "title": "Estimate generalized forecast error variance decomposition for structural STVAR models.",
      "topics": [
        "GFEVD",
        "plot.gfevd",
        "print.gfevd"
      ]
    },
    {
      "page": "GIRF",
      "title": "Estimate generalized impulse response function for structural STVAR models.",
      "topics": [
        "GIRF",
        "plot.girf",
        "print.girf"
      ]
    },
    {
      "page": "hist_decomp",
      "title": "Compute historical decompositions for structural STVAR models.",
      "topics": [
        "hist_decomp",
        "plot.histdecomp",
        "print.histdecomp"
      ]
    },
    {
      "page": "in_paramspace",
      "title": "Determine whether the parameter vector is in the parameter space",
      "topics": [
        "in_paramspace"
      ]
    },
    {
      "page": "iterate_more",
      "title": "Maximum likelihood estimation of a reduced form or structural STVAR model based on preliminary estimates",
      "topics": [
        "iterate_more"
      ]
    },
    {
      "page": "linear_IRF",
      "title": "Estimate linear impulse response function based on a single regime of a structural STVAR model.",
      "topics": [
        "linear_IRF",
        "plot.irf",
        "print.irf"
      ]
    },
    {
      "page": "LR_test",
      "title": "Perform likelihood ratio test for a STVAR model",
      "topics": [
        "LR_test"
      ]
    },
    {
      "page": "plot_struct_shocks",
      "title": "Plot structural shock time series of a STVAR model",
      "topics": [
        "plot_struct_shocks"
      ]
    },
    {
      "page": "predict.stvar",
      "title": "Predict method for class 'stvar' objects",
      "topics": [
        "plot.stvarpred",
        "predict.stvar",
        "print.stvarpred"
      ]
    },
    {
      "page": "Portmanteau_test",
      "title": "Perform adjusted Portmanteau test for a STVAR model",
      "topics": [
        "Portmanteau_test"
      ]
    },
    {
      "page": "print.hypotest",
      "title": "Print method for the class hypotest",
      "topics": [
        "print.hypotest"
      ]
    },
    {
      "page": "print.stvarsum",
      "title": "Summary print method from objects of class 'stvarsum'",
      "topics": [
        "print.stvarsum"
      ]
    },
    {
      "page": "profile_logliks",
      "title": "Plot profile log-likelihood functions about the estimates",
      "topics": [
        "profile_logliks"
      ]
    },
    {
      "page": "Rao_test",
      "title": "Perform Rao's score test for a STVAR model",
      "topics": [
        "Rao_test"
      ]
    },
    {
      "page": "redecompose_Omegas",
      "title": "In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the ordering of the covariance matrices.",
      "topics": [
        "redecompose_Omegas"
      ]
    },
    {
      "page": "reorder_B_columns",
      "title": "Reorder columns of impact matrix B of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity.",
      "topics": [
        "reorder_B_columns"
      ]
    },
    {
      "page": "simulate.stvar",
      "title": "Simulate method for class 'stvar' objects",
      "topics": [
        "simulate.stvar"
      ]
    },
    {
      "page": "STVAR",
      "title": "Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model",
      "topics": [
        "logLik.stvar",
        "plot.stvar",
        "print.stvar",
        "residuals.stvar",
        "STVAR",
        "summary.stvar"
      ]
    },
    {
      "page": "stvar_to_sstvars110",
      "title": "Update STVAR model estimated with a version of the package <1.1.0 to be compatible with the versions >=1.1.0.",
      "topics": [
        "stvar_to_sstvars110"
      ]
    },
    {
      "page": "swap_B_signs",
      "title": "Swap all signs in pointed columns of the impact matrix of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity",
      "topics": [
        "swap_B_signs"
      ]
    },
    {
      "page": "swap_parametrization",
      "title": "Swap the parametrization of a STVAR model",
      "topics": [
        "swap_parametrization"
      ]
    },
    {
      "page": "uncond_moments",
      "title": "Calculate the unconditional means, variances, the first p autocovariances, and the first p autocorrelations of the regimes of the model.",
      "topics": [
        "uncond_moments"
      ]
    },
    {
      "page": "usacpu",
      "title": "U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,",
      "topics": [
        "usacpu"
      ]
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