R: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

# Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

## Documentation for package ‘gmvarkit’ version 2.2.1

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS
- Package README

## Help Pages

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 (in press)
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