sstvars 1.0.0

• Initial CRAN submission.

sstvars 1.0.1

• Updated configure script to fix an issue with the installation on Mac OS X.

sstvars 1.0.2

• Updated readme.
• Updated documentation.

sstvars 1.1.0

• MAJOR: Implemented independent skewed t distribution as a new conditional distribution.
• MAJOR: Implemented a three phase estimation for TVAR models to enhance computational efficiency.
• MAJOR: Implemented a possibility to maximize penalized log-likelihood function that penalizes from unstable and close-to-unstable estimates. Significantly improves the performance of the estimation algorithm in some cases, particularly when the time series are very persistent.
• Estimates not satisfying the usual stability condition for the regimes can now be allowed.
• Adjusted the step sizes in finite difference numerical differentiation.
• The step size in finite difference numerical differentiation can now be adjusted in the function iterate_more.
• Changed the random parameter generation for ind_Student models (estimation results with specific seeds are not backward compatible).
• A new function: filter_estimates, which can be used considers includes estimates that are not deemed inappropriate).
• A new function: plot_struct_shocks, which plots the structural shock time series.
• A new function: stvar_to_sstvars110, which makes STVAR models estimated with package versions <1.1.0 compatible with package versions >=1.1.0.
• Some adjustments to estimation with fitSTVAR. NOTE: estimation results with a particular seed may be different to the earlier version.
• Removed the argument “filter_estimates” from fitSTVAR as a redundancy (it is now always applied), since the function alt_stvar can in any case be used to browse the estimates from any estimation round.
• Added a new functionality to fitSSTVAR: structural models identified by non-Gaussianity can be estimated based on different orderings or signs of the columns of any of B_1,…,B_M (to conveniently examine models corresponding to various orderings and signs in the presence of weak identification with respect to ordering or signs of the columns of B_2,…,B_M)
• FIXED A BUG in the simulation algorithm for models incorporating independent Student’s t conditional distributions (the variance of each structural shock was not scaled to one).
• FIXED A BUG in the GIRF simulation algorithm: the transition weights were not necessarily high for ‘init_regime’ at impact (but the initial values were generated from the correct regimes).
• Made the function profile_logliks more user friendly.
• Added a simplified table of contents to the vignette.
• The argument standard_error_print can now be used directly in the summary-function to obtain printout of standard errors.
• Updated the documentation.

sstvars 1.1.1

• Now also the NLS step in the three-phase estimation estimation checks that there are enough observations from each regime (previously only LS estimation checked this).
• Added the argument min_obs_coef to fitSTVAR to let the user to control the smallest accepted number of observations from each regime in the LS/NLS step of the three-phase estimation. Also increased its default value.
• Now alt_stvar, iterate_more, and filter_estimates retain LS_estimates if the original model contains them.
• Now summary printout of class sstvar objects tells if the log-likelihood function is penalized.
• Fixed CRAN check issues.