gmvarkit-package |
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models |
add_data |
Add data to an object of class 'gsmvar' defining a GMVAR, StMVAR, or G-StMVAR model |
alt_gsmvar |
Construct a GMVAR, StMVAR, or G-StMVAR model based on results from an arbitrary estimation round of 'fitGSMVAR' |
calc_gradient |
Calculate gradient or Hessian matrix |
calc_hessian |
Calculate gradient or Hessian matrix |
check_parameters |
Check that the given parameter vector satisfies the model assumptions |
cond_moments |
Compute conditional moments of a GMVAR, StMVAR, or G-StMVAR model |
cond_moment_plot |
Conditional mean or variance plot for a GMVAR, StMVAR, or G-StMVAR model |
diagnostic_plot |
Quantile residual diagnostic plot for a GMVAR, StMVAR, or G-StMVAR model |
diag_Omegas |
Simultaneously diagonalize two covariance matrices |
estimate_sgsmvar |
Maximum likelihood estimation of a structural GMVAR, StMVAR, or G-StMVAR model with preliminary estimates |
euromone |
Euro area macroeconomic data used in Virolainen (2022) |
fitGSMVAR |
Two-phase maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR model |
GAfit |
Genetic algorithm for preliminary estimation of a GMVAR, StMVAR, or G-StMVAR model |
gdpdef |
U.S. real GDP percent change and GDP implicit price deflator percent change. |
get_boldA_eigens |
Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients |
get_foc |
Calculate gradient or Hessian matrix |
get_gradient |
Calculate gradient or Hessian matrix |
get_hessian |
Calculate gradient or Hessian matrix |
get_omega_eigens |
Calculate the eigenvalues of the "Omega" error term covariance matrices |
get_regime_autocovs |
Calculate regimewise autocovariance matrices |
get_regime_means |
Calculate regime means mu_{m} |
get_soc |
Calculate gradient or Hessian matrix |
GFEVD |
Estimate generalized forecast error variance decomposition for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
GIRF |
Estimate generalized impulse response function for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
gmvarkit |
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models |
gmvar_to_gsmvar |
Makes the old class 'gmvar' objects compatible with the functions using class 'gsmvar' objects |
GSMVAR |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
gsmvar_to_sgsmvar |
Switch from two-regime reduced form GMVAR, StMVAR, or G-StMVAR model to a structural model. |
in_paramspace |
Determine whether the parameter vector lies in the parameter space |
in_paramspace_int |
Determine whether the parameter vector lies in the parameter space |
iterate_more |
Maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR model with preliminary estimates |
linear_IRF |
Estimate linear impulse response function based on a single regime of a structural GMVAR, StMVAR, or G-StMVAR model. |
logLik.gsmvar |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
loglikelihood |
Compute log-likelihood of a GMVAR, StMVAR, or G-StMVAR model using parameter vector |
LR_test |
Perform likelihood ratio test for a GMVAR, StMVAR, or G-StMVAR model |
Pearson_residuals |
Calculate multivariate Pearson residuals of a GMVAR, StMVAR, or G-StMVAR model |
plot.gfevd |
Estimate generalized forecast error variance decomposition for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
plot.girf |
Estimate generalized impulse response function for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
plot.gsmvar |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
plot.gsmvarpred |
plot method for class 'gsmvarpred' objects |
plot.irf |
Estimate linear impulse response function based on a single regime of a structural GMVAR, StMVAR, or G-StMVAR model. |
plot.qrtest |
Quantile residual tests |
predict.gsmvar |
Predict method for class 'gsmvar' objects |
print.gfevd |
Estimate generalized forecast error variance decomposition for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
print.girf |
Estimate generalized impulse response function for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models. |
print.gsmvar |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
print.gsmvarpred |
Print method for class 'gsmvarpred' objects |
print.gsmvarsum |
Summary print method from objects of class 'gsmvarsum' |
print.hypotest |
Print method for the class hypotest |
print.irf |
Estimate linear impulse response function based on a single regime of a structural GMVAR, StMVAR, or G-StMVAR model. |
print.qrtest |
Quantile residual tests |
print_std_errors |
Print standard errors of a GMVAR, StMVAR, or G-StMVAR model in the same form as the model estimates are printed |
profile_logliks |
Plot profile log-likehoods around the estimates |
quantile_residuals |
Calculate multivariate quantile residuals of a GMVAR, StMVAR, or G-StMVAR model |
quantile_residual_tests |
Quantile residual tests |
random_ind2 |
Create somewhat random parameter vector of a GMVAR, StMVAR, or G-StMVAR model that is always stationary |
Rao_test |
Perform Rao's score test for a GSMVAR model |
redecompose_Omegas |
In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the order of the covariance matrices. |
reorder_W_columns |
Reorder columns of the W-matrix and lambda parameters of a structural GMVAR, StMVAR, or G-StMVAR model. |
residuals.gsmvar |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
simulate.gsmvar |
Simulate method for class 'gsmvar' objects |
stmvar_to_gstmvar |
Estimate a G-StMVAR model based on a StMVAR model that has large degrees of freedom parameters |
summary.gsmvar |
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model |
swap_parametrization |
Swap the parametrization of a GMVAR, StMVAR, or G-StMVAR model |
swap_W_signs |
Swap all signs in pointed columns a the W matrix of a structural GMVAR, StMVAR, or G-StMVAR model. |
uncond_moments |
Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR, StMVAR, or G-StMVAR process |
update_numtols |
Update the stationarity and positive definiteness numerical tolerances of an existing class 'gsmvar' model. |
usamon |
U.S. macroeconomic data used in Virolainen (2025) |
usamone |
U.S. macroeconomic data |
Wald_test |
Perform Wald test for a GMVAR, StMVAR, or G-StMVAR model |