saviviro/gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive (GMVAR) model, 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 (2020) <arXiv:2007.04713>, Savi Virolainen (2021) <arXiv:arXiv:2109.13648>.

Getting started

Package details

AuthorSavi Virolainen [aut, cre]
MaintainerSavi Virolainen <savi.virolainen@helsinki.fi>
LicenseGPL-3
Version2.0.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("saviviro/gmvarkit")
saviviro/gmvarkit documentation built on Oct. 13, 2021, 11:40 p.m.