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 |