It is my understanding that we can compute the steady state values of the TVP-VAR by doing the following in each time period:
Yss = (I-B_1-B_2)^-1*C
Where, Yss is the steady state vector of n variables, I is the the nxn identity matrix, B_1 and B_2 are the time varying coefficient matrices and C is the time varying vector of intercepts.
If we were to do this using the example in the vignette, would the following code be correct:
Hi,
It is my understanding that we can compute the steady state values of the TVP-VAR by doing the following in each time period:
Yss = (I-B_1-B_2)^-1*C
Where, Yss is the steady state vector of n variables, I is the the nxn identity matrix, B_1 and B_2 are the time varying coefficient matrices and C is the time varying vector of intercepts.
If we were to do this using the example in the vignette, would the following code be correct:
`bvar.fit <- bvar.sv.tvp(usmacro, p =2, nburn = 5000, nrep = 50000)
ssvals <- list(ISTAR = NA, USTAR = NA, RSTAR = NA)
for(i in 1:dim(bvar.fit$Beta.postmean)[3]){
ss <- solve((diag(3)-bvar.fit$Beta.postmean[,2:4,i]-bvar.fit$Beta.postmean[,5:7,i]), bvar.fit$Beta.postmean[,1,i])
ssvals[["ISTAR"]][[i]] <- ss[1] ssvals[["USTAR"]][[i]] <- ss[2] ssvals[["RSTAR"]][[i]] <- ss[3]
} `
Thanks
Adam