Estimate Gaussian Mixture Vector Autoregressive Model


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Documentation for package ‘gmvarkit’ version 1.5.0

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add_data Add data to an object of class 'gmvar' defining a GMVAR model
alt_gmvar Construct a GMVAR model based on results from an arbitrary estimation round of 'fitGMVAR'
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 model
cond_moment_plot Conditional mean or variance plot for a GMVAR model
diagnostic_plot Quantile residual diagnostic plot for a GMVAR model
diag_Omegas Simultaneously diagonalize two covariance matrices
fitGMVAR Two-phase maximum likelihood estimation of a GMVAR model
GAfit Genetic algorithm for preliminary estimation of a GMVAR 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 a structural GMVAR model.
GIRF Estimate generalized impulse response function for a structural GMVAR model.
GMVAR Create a class 'gmvar' object defining a reduced form or structural GMVAR model
gmvarkit gmvarkit: Estimate Gaussian Mixture Vector Autoregressive (GMVAR) model
gmvar_to_sgmvar Switch from two-regime reduced form GMVAR model to a structural GMVAR 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 model with preliminary estimates
logLik.gmvar Create a class 'gmvar' object defining a reduced form or structural GMVAR model
loglikelihood Compute log-likelihood of a GMVAR model using parameter vector
LR_test Perform likelihood ratio test for a GMVAR or SGMVAR model
plot.gfevd Estimate generalized forecast error variance decomposition for a structural GMVAR model.
plot.girf Estimate generalized impulse response function for a structural GMVAR model.
plot.gmvar Create a class 'gmvar' object defining a reduced form or structural GMVAR model
plot.gmvarpred plot method for class 'gmvarpred' objects
plot.qrtest Quantile residual tests
predict.gmvar Predict method for class 'gmvar' objects
print.gfevd Estimate generalized forecast error variance decomposition for a structural GMVAR model.
print.girf Estimate generalized impulse response function for a structural GMVAR model.
print.gmvar Create a class 'gmvar' object defining a reduced form or structural GMVAR model
print.gmvarpred Print method for class 'gmvarpred' objects
print.gmvarsum Summary print method from objects of class 'gmvarsum'
print.qrtest Quantile residual tests
print_std_errors Print standard errors of GMVAR 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 model
quantile_residual_tests Quantile residual tests
random_ind2 Create somewhat random parameter vector of a GMVAR model that is always stationary
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 model.
residuals.gmvar Create a class 'gmvar' object defining a reduced form or structural GMVAR model
simulateGMVAR Simulate from GMVAR process
summary.gmvar Create a class 'gmvar' object defining a reduced form or structural GMVAR model
swap_parametrization Swap the parametrization of a GMVAR model
swap_W_signs Swap all signs in pointed columns a the W matrix of a structural GMVAR model.
uncond_moments Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR process
update_numtols Update the stationarity and positive definiteness numerical tolerances of an existing class 'gmvar' model.
Wald_test Perform Wald test for a GMVAR or SGMVAR model