gmvarkit2.1.2 package

Add data to an object of class 'gsmvar' defining a GMVAR, StMVAR, or G...

Check whether all arguments are positive integers

DEPRECATED! USE THE FUNCTION alt_gsmvar INSTEAD! Construct a GMVAR mod...

Construct a GMVAR, StMVAR, or G-StMVAR model based on results from an ...

Calculate gradient or Hessian matrix

Change parametrization of a parameter vector

Change regime parameters upsilon_{m} $= (\phi_{m,0},$phi_{m} $,\sigma...

Check the constraint matrix has the correct form

Check the data is in the correct form

Checks whether the given object has class attribute 'gsmvar'

Checks whether the given object contains data

Check that the given parameter vector satisfies the model assumptions

Check that p, M, and d are correctly set

Check whether the parametrization is correct for usage of same means r...

Conditional mean or variance plot for a GMVAR, StMVAR, or G-StMVAR mod...

Compute conditional moments of a GMVAR, StMVAR, or G-StMVAR model

Create a special matrix J

Simultaneously diagonalize two covariance matrices

Quantile residual diagnostic plot for a GMVAR, StMVAR, or G-StMVAR mod...

Calculate logarithms of multiple multivariate normal densities with va...

Calculate logarithms of multiple multivariate Student's t densities wi...

Maximum likelihood estimation of a structural GMVAR, StMVAR, or G-StMV...

DEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Two-phase maximum like...

Two-phase maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVA...

Form the $((dp)x(dp))$ "bold A" matrices related to the VAR processes

Function factory for value formatting

Genetic algorithm for preliminary estimation of a GMVAR, StMVAR, or G-...

Get mixing weights alpha_mt (this function is for internal use)

Calculate absolute values of the eigenvalues of the "bold A" matrices ...

Calculate AIC, HQIC, and BIC

Returns the default smallest allowed log-likelihood for given data.

Calculate the eigenvalues of the "Omega" error term covariance matrice...

Calculate regimewise autocovariance matrices

Calculate regimewise autocovariance matrices

Calculate regime means $\mu_{m}$

Calculate regime means $\mu_{m}$

Calculate the dp-dimensional covariance matrices $\Sigma_{m,p}$ in the...

Calculate symmetric square root matrix of a positive definite covarian...

Compute covariance matrix Omega used in quantile residual tests

Get structural parameters that indicate there are no constraints

Get differences 'h' which are adjusted for overly large degrees of fre...

Estimate generalized forecast error variance decomposition for structu...

Estimate generalized impulse response function for structural (and red...

DEPRECATED! USE THE FUNCTION GSMVAR INSTEAD! Create a class 'gsmvar' o...

Makes class 'gmvar' objects compatible with the functions using class ...

DEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Switch from two-regime...

gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregress...

Create a class 'gsmvar' object defining a reduced form or structural G...

Switch from two-regime reduced form GMVAR, StMVAR, or G-StMVAR model t...

Determine whether the parameter vector lies in the parameter space

Determine whether the parameter vector lies in the parameter space

Check the stationary condition of a given GMVAR, StMVAR, or G-StMVAR m...

Maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR model wi...

Estimate linear impulse response function based on a single regime of ...

Compute log-likelihood of a GMVAR, StMVAR, or G-StMVAR model using par...

Compute log-likelihood of a GMVAR, StMVAR, and G-StMVAR models

Perform likelihood ratio test for a GMVAR, StMVAR, or G-StMVAR model

Compute the j:th power of a square matrix A

Calculate the number of parameters in a GMVAR, StMVAR, or G-StMVAR mod...

Calculate multivariate Pearson residuals of a GMVAR, StMVAR, or G-StMV...

Pick all $\phi_{m,0}$ or $\mu_{m}$ and $A_{m,1},...,A_{m,p}$ parameter...

Pick coefficient all matrices

Pick mixing weight parameters $\alpha_{m}, m=1,...,M$

Pick coefficient matrices

Pick coefficient matrix

Pick the degrees of freedom parameters nu $=(\nu_{M1+1},...,\nu_{M})$

Pick the structural parameters eigenvalue 'lambdas'

Pick covariance matrices

Pick $\phi_{m,0}$ or $\mu_{m}$, m=1,..,M vectors

Pick regime parameters upsilon_{m} $= (\phi_{m,0},$phi_{m} $,\sigma_{...

Pick the structural parameter matrix W

plot method for class 'gmvarpred' objects

plot method for class 'gsmvarpred' objects

DEPRECATED! USE THE FUNCTION predict.gsmvar INSTEAD! Predict method fo...

Predict method for class 'gsmvar' objects

Deprecated S3 methods for the deprecated class 'gmvar'

Summary print method from objects of class 'gmvarsum'

Print method for class 'gsmvarpred' objects

Summary print method from objects of class 'gsmvarsum'

Print method for the class hypotest

Print standard errors of a GMVAR, StMVAR, or G-StMVAR model in the sam...

Plot profile log-likehoods around the estimates

Quantile residual tests

Calculate multivariate quantile residuals of a GMVAR, StMVAR, or G-StM...

Calculate multivariate quantile residuals of GMVAR, StMVAR, or G-StMVA...

Create random VAR-model $(dxd)$ coefficient matrices $A$.

Create random stationary VAR model $(dxd)$ coefficient matrices $A$.

Create random VAR model error term covariance matrix

Create random degrees of freedom parameter values

Create random mean-parametrized parameter vector of a GMVAR, StMVAR, o...

Create somewhat random parameter vector of a GMVAR, StMVAR, or G-StMVA...

Perform Rao's score test for a GSMVAR model

In the decomposition of the covariance matrices (Muirhead, 1982, Theor...

Reform constrained parameter vector into the "standard" form

Reform data

Reform structural parameter vector into the "standard" form

Calculate "distance" between two (scaled) regimes upsilon_{m} $ = (\ph...

Reorder columns of the W-matrix and lambda parameters of a structural ...

Simulate method for class 'gsmvar' objects

DEPRECATED! USE THE FUNCTION simulate.gsmvar INSTEAD! Simulate from GM...

Create random VAR-model $(dxd)$ error term covariance matrix $\Omega$f...

Create random degrees of freedom parameter values close to given value...

Create random parameter vector of a GMVAR, StMVAR, or G-StMVAR model f...

Sort mixing weight parameters in a decreasing order and standardize th...

Sort components in parameter vector according to mixing weights into a...

Sort the columns of W matrix by sorting the lambda parameters of the s...

Calculate standard errors for estimates of a GMVAR, StMVAR, or G-StMVA...

Estimate a G-StMVAR model based on a StMVAR model that has large degre...

Transform a StMVAR (or G-StMVAR) model parameter vector to the corresp...

Swap the parametrization of a GMVAR, StMVAR, or G-StMVAR model

Swap all signs in pointed columns a the $W$ matrix of a structural GMV...

Calculate the unconditional mean, variance, the first p autocovariance...

Calculate the unconditional mean, variance, the first p autocovariance...

Reverse vectorization operator

Reverse operator of the parsimonious vectorization operator vech

Reverse vectorization operator that restores zeros

Update the stationarity and positive definiteness numerical tolerances...

Calculate the dp-dimensional covariance matrix of p consecutive observ...

Vectorization operator

Parsimonious vectorization operator for symmetric matrices

Perform Wald test for a GMVAR, StMVAR, or G-StMVAR model

Warn about large degrees of freedom parameter values

Warn about near-unit-roots in some regimes

Vectorization operator that removes zeros