Package: sstvars 1.2.4

sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

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 (in press) <doi:10.1080/07474938.2026.2673986>.

Authors:Savi Virolainen [aut, cre]

sstvars_1.2.4.tar.gz
sstvars_1.2.4.zip(r-4.7)sstvars_1.2.4.zip(r-4.6)sstvars_1.2.4.zip(r-4.5)
sstvars_1.2.4.tgz(r-4.6-x86_64)sstvars_1.2.4.tgz(r-4.6-arm64)sstvars_1.2.4.tgz(r-4.5-x86_64)sstvars_1.2.4.tgz(r-4.5-arm64)
sstvars_1.2.4.tar.gz(r-4.7-arm64)sstvars_1.2.4.tar.gz(r-4.7-x86_64)sstvars_1.2.4.tar.gz(r-4.6-arm64)sstvars_1.2.4.tar.gz(r-4.6-x86_64)
sstvars_1.2.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
sstvars/json (API)
NEWS

# Install 'sstvars' in R:
install.packages('sstvars', repos = c('https://saviviro.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/saviviro/sstvars/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • acidata - U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data
  • gdpdef - U.S. real GDP percent change and GDP implicit price deflator percent change
  • usacpu - U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,
  • usamone - U.S. real GDP, GDP implicit price deflator, and interest rate data

On CRAN:

Conda:

openblascppopenmp

6.40 score 6 stars 46 scripts 350 downloads 37 exports 3 dependencies

Last updated from:db377a0f12. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK204
linux-devel-x86_64OK167
source / vignettesOK298
linux-release-arm64OK208
linux-release-x86_64OK175
macos-release-arm64OK319
macos-release-x86_64OK440
macos-oldrel-arm64OK206
macos-oldrel-x86_64OK359
windows-develOK228
windows-releaseOK201
windows-oldrelOK222
wasm-releaseOK152

Exports:alt_stvarbound_JSRbound_jsr_Gcalc_gradientcalc_hessiancfact_forecfact_girfcfact_histcheck_paramsdiag_Omegasdiagnostic_plotfilter_estimatesfitSSTVARfitSTVARget_focget_gradientget_hessianget_penalized_ICget_socGFEVDGIRFhist_decompiterate_morelinear_IRFLR_testplot_struct_shocksPortmanteau_testprofile_logliksRao_testredecompose_Omegasreorder_B_columnsSTVARstvar_to_sstvars110swap_B_signsswap_parametrizationuncond_momentsWald_test

Dependencies:pbapplyRcppRcppArmadillo

sstvars: Structural Smooth Transition Vector Autoregressive Models R

Rendered fromsstvars-vignette.Rnwusingutils::Sweaveon May 29 2026.

Last update: 2026-04-27
Started: 2024-01-22

Readme and manuals

Help Manual

Help pageTopics
sstvars: toolkit for reduced form and structural smooth transition vector autoregressive modelssstvars-package sstvars
U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate dataacidata
Construct a STVAR model based on results from an arbitrary estimation round of 'fitSTVAR'alt_stvar
Calculate upper bound for the joint spectral radius of the "companion form AR matrices" of the regimesbound_JSR
Calculate upper bound for the joint spectral radius of a set of matricesbound_jsr_G
Calculate gradient or Hessian matrixcalc_gradient calc_hessian get_foc get_gradient get_hessian get_soc
Simulate counterfactual forecast scenarios for structural STVAR models.cfact_fore plot.cfactfore print.cfactfore
Simulate counterfactual generalized impulse response functions for structural STVAR models.cfact_girf plot.cfactgirf print.cfactgirf
Simulate historical counterfactual for structural STVAR models.cfact_hist plot.cfacthist print.cfacthist
Check whether the parameter vector is in the parameter space and throw error if notcheck_params
Simultaneously diagonalize two covariance matricesdiag_Omegas
Residual diagnostic plot for a STVAR modeldiagnostic_plot
Filter inappropriate the estimates produced by fitSTVARfilter_estimates
Maximum likelihood estimation of a structural STVAR model based on preliminary estimates from a reduced form model.fitSSTVAR
Two-phase or three-phase (penalized) maximum likelihood estimation of a reduced form smooth transition VAR modelfitSTVAR
Genetic algorithm for preliminary estimation of reduced form STVAR modelsGAfit
U.S. real GDP percent change and GDP implicit price deflator percent changegdpdef
Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticityget_hetsked_sstvar
Calculate penalized AIC, HQIC, and BICget_penalized_IC
Estimate generalized forecast error variance decomposition for structural STVAR models.GFEVD plot.gfevd print.gfevd
Estimate generalized impulse response function for structural STVAR models.GIRF plot.girf print.girf
Compute historical decompositions for structural STVAR models.hist_decomp plot.histdecomp print.histdecomp
Determine whether the parameter vector is in the parameter spacein_paramspace
Maximum likelihood estimation of a reduced form or structural STVAR model based on preliminary estimatesiterate_more
Estimate linear impulse response function based on a single regime of a structural STVAR model.linear_IRF plot.irf print.irf
Perform likelihood ratio test for a STVAR modelLR_test
Plot structural shock time series of a STVAR modelplot_struct_shocks
Predict method for class 'stvar' objectsplot.stvarpred predict.stvar print.stvarpred
Perform adjusted Portmanteau test for a STVAR modelPortmanteau_test
Print method for the class hypotestprint.hypotest
Summary print method from objects of class 'stvarsum'print.stvarsum
Plot profile log-likelihood functions about the estimatesprofile_logliks
Perform Rao's score test for a STVAR modelRao_test
In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the ordering of the covariance matrices.redecompose_Omegas
Reorder columns of impact matrix B of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity.reorder_B_columns
Simulate method for class 'stvar' objectssimulate.stvar
Create a class 'stvar' object defining a reduced form or structural smooth transition VAR modellogLik.stvar plot.stvar print.stvar residuals.stvar STVAR summary.stvar
Update STVAR model estimated with a version of the package <1.1.0 to be compatible with the versions >=1.1.0.stvar_to_sstvars110
Swap all signs in pointed columns of the impact matrix of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianityswap_B_signs
Swap the parametrization of a STVAR modelswap_parametrization
Calculate the unconditional means, variances, the first p autocovariances, and the first p autocorrelations of the regimes of the model.uncond_moments
U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,usacpu
U.S. real GDP, GDP implicit price deflator, and interest rate datausamone
Perform Wald test for a STVAR modelWald_test