saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function and generalized forecast error variance decomposition. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (forthcoming) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (2022) <arXiv:2109.13648>.

install.packages("remotes")
remotes::install_github("saviviro/gmvarkit")