Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

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Documentation for package ‘gmvarkit’ version 2.2.0

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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