| 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_gmvar |
DEPRECATED! USE THE FUNCTION alt_gsmvar INSTEAD! Construct a GMVAR model based on results from an arbitrary estimation round of 'fitGSMVAR' |
| 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 |
A monthly Euro area data covering the period from January 1999 to December 2021 (276 observations) and consisting four variables: cyclical component of log industrial production index, the log-difference of harmonized consumer price index, the log-difference of Brent crude oil prices (Europe), and an interest rate variable. The interest rate variable is the Euro overnight index average rate (EONIA) from January 1999 to October 2008, and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-difference of the harmonized consumer price index is multiplied by hundred and the log-difference of oil price by ten. This data is the one that was used in Virolainen (2022). |
| fitGMVAR |
DEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Two-phase maximum likelihood estimation of a GMVAR model |
| 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. |
| GMVAR |
DEPRECATED! USE THE FUNCTION GSMVAR INSTEAD! Create a class 'gsmvar' object defining a reduced form or structural GMVAR model |
| gmvarkit |
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models |
| gmvar_to_gsmvar |
Makes class 'gmvar' objects compatible with the functions using class 'gsmvar' objects |
| gmvar_to_sgmvar |
DEPRECATED! USE THE FUNCTION fitGSMVAR INSTEAD! Switch from two-regime reduced form GMVAR model to a structural model. |
| 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.gmvar |
Deprecated S3 methods for the deprecated class 'gmvar' |
| 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.gmvar |
Deprecated S3 methods for the deprecated class 'gmvar' |
| plot.gmvarpred |
plot method for class 'gmvarpred' objects |
| 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.gmvar |
DEPRECATED! USE THE FUNCTION predict.gsmvar INSTEAD! Predict method for class 'gmvar' objects |
| 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.gmvar |
Deprecated S3 methods for the deprecated class 'gmvar' |
| print.gmvarpred |
plot method for class 'gmvarpred' objects |
| print.gmvarsum |
Summary print method from objects of class 'gmvarsum' |
| 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.gmvar |
Deprecated S3 methods for the deprecated class 'gmvar' |
| 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 |
| simulateGMVAR |
DEPRECATED! USE THE FUNCTION simulate.gsmvar INSTEAD! Simulate from GMVAR process |
| stmvar_to_gstmvar |
Estimate a G-StMVAR model based on a StMVAR model that has large degrees of freedom parameters |
| summary.gmvar |
Deprecated S3 methods for the deprecated class 'gmvar' |
| 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 |
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator, and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming). |
| usamone |
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: cyclical component of the log of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP deflator and producer price index are multiplied by hundred. |
| Wald_test |
Perform Wald test for a GMVAR, StMVAR, or G-StMVAR model |
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