Package: gmvarkit 2.2.1

gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, 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 (2025) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (in press) <doi:10.1016/j.ecosta.2025.09.003>.

Authors:Savi Virolainen [aut, cre]

gmvarkit_2.2.1.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
gmvarkit/json (API)

# Install 'gmvarkit' in R:

install.packages('gmvarkit', repos = c('https://saviviro.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/saviviro/gmvarkit/issues

Datasets:

euromone - Euro area macroeconomic data used in Virolainen
gdpdef - U.S. real GDP percent change and GDP implicit price deflator percent change.
usamon - U.S. macroeconomic data used in Virolainen
usamone - U.S. macroeconomic data

On CRAN:

4.79 score 3 stars 41 scripts 536 downloads 44 exports 9 dependencies

Last updated from:4fb4a8ee1a. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	406
source / vignettes	OK	202
linux-release-x86_64	OK	373
macos-release-arm64	OK	313
macos-oldrel-arm64	OK	297
windows-devel	OK	239
windows-release	OK	244
windows-oldrel	OK	252
wasm-release	OK	153

Exports:add_data alt_gsmvar calc_gradient calc_hessian check_parameters cond_moment_plot cond_moments diag_Omegas diagnostic_plot estimate_sgsmvar fitGSMVAR GAfit get_boldA_eigens get_foc get_gradient get_hessian get_omega_eigens get_regime_autocovs get_regime_means get_soc GFEVD GIRF gmvar_to_gsmvar GSMVAR gsmvar_to_sgsmvar in_paramspace iterate_more linear_IRF loglikelihood LR_test Pearson_residuals print_std_errors profile_logliks quantile_residual_tests quantile_residuals Rao_test redecompose_Omegas reorder_W_columns stmvar_to_gstmvar swap_parametrization swap_W_signs uncond_moments update_numtols Wald_test

Dependencies:BH Brobdingnag gsl lattice Matrix mvnfast pbapply Rcpp RcppArmadillo

gmvarkit: A Family of Mixture Vector Autoregressive Models in R

Rendered fromgmvarkit-vignette.Rnwusingutils::Sweave

Last update: 2025-10-06
Started: 2021-10-19

Help page	Topics
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models	gmvarkit-package gmvarkit
Add data to an object of class 'gsmvar' defining a GMVAR, StMVAR, or G-StMVAR model	add_data
Construct a GMVAR, StMVAR, or G-StMVAR model based on results from an arbitrary estimation round of 'fitGSMVAR'	alt_gsmvar
Calculate gradient or Hessian matrix	calc_gradient calc_hessian get_foc get_gradient get_hessian get_soc
Check that the given parameter vector satisfies the model assumptions	check_parameters
Conditional mean or variance plot for a GMVAR, StMVAR, or G-StMVAR model	cond_moment_plot
Compute conditional moments of a GMVAR, StMVAR, or G-StMVAR model	cond_moments
Simultaneously diagonalize two covariance matrices	diag_Omegas
Quantile residual diagnostic plot for a GMVAR, StMVAR, or G-StMVAR model	diagnostic_plot
Maximum likelihood estimation of a structural GMVAR, StMVAR, or G-StMVAR model with preliminary estimates	estimate_sgsmvar
Euro area macroeconomic data used in Virolainen (in press)	euromone
Two-phase maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR model	fitGSMVAR
Genetic algorithm for preliminary estimation of a GMVAR, StMVAR, or G-StMVAR model	GAfit
U.S. real GDP percent change and GDP implicit price deflator percent change.	gdpdef
Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients	get_boldA_eigens
Calculate the eigenvalues of the "Omega" error term covariance matrices	get_omega_eigens
Calculate regimewise autocovariance matrices	get_regime_autocovs
Calculate regime means mu_{m}	get_regime_means
Estimate generalized forecast error variance decomposition for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models.	GFEVD plot.gfevd print.gfevd
Estimate generalized impulse response function for structural (and reduced form) GMVAR, StMVAR, and G-StMVAR models.	GIRF plot.girf print.girf
Makes the old class 'gmvar' objects compatible with the functions using class 'gsmvar' objects	gmvar_to_gsmvar
Create a class 'gsmvar' object defining a reduced form or structural GMVAR, StMVAR, or G-StMVAR model	GSMVAR logLik.gsmvar plot.gsmvar print.gsmvar residuals.gsmvar summary.gsmvar
Switch from two-regime reduced form GMVAR, StMVAR, or G-StMVAR model to a structural model.	gsmvar_to_sgsmvar
Determine whether the parameter vector lies in the parameter space	in_paramspace
Determine whether the parameter vector lies in the parameter space	in_paramspace_int
Maximum likelihood estimation of a GMVAR, StMVAR, or G-StMVAR model with preliminary estimates	iterate_more
Estimate linear impulse response function based on a single regime of a structural GMVAR, StMVAR, or G-StMVAR model.	linear_IRF plot.irf print.irf
Compute log-likelihood of a GMVAR, StMVAR, or G-StMVAR model using parameter vector	loglikelihood
Perform likelihood ratio test for a GMVAR, StMVAR, or G-StMVAR model	LR_test
Calculate multivariate Pearson residuals of a GMVAR, StMVAR, or G-StMVAR model	Pearson_residuals
plot method for class 'gsmvarpred' objects	plot.gsmvarpred
Quantile residual tests	plot.qrtest print.qrtest quantile_residual_tests
Predict method for class 'gsmvar' objects	predict.gsmvar
Print standard errors of a GMVAR, StMVAR, or G-StMVAR model in the same form as the model estimates are printed	print_std_errors
Print method for class 'gsmvarpred' objects	print.gsmvarpred
Summary print method from objects of class 'gsmvarsum'	print.gsmvarsum
Print method for the class hypotest	print.hypotest
Plot profile log-likehoods around the estimates	profile_logliks
Calculate multivariate quantile residuals of a GMVAR, StMVAR, or G-StMVAR model	quantile_residuals
Create somewhat random parameter vector of a GMVAR, StMVAR, or G-StMVAR model that is always stationary	random_ind2
Perform Rao's score test for a GSMVAR model	Rao_test
In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the order of the covariance matrices.	redecompose_Omegas
Reorder columns of the W-matrix and lambda parameters of a structural GMVAR, StMVAR, or G-StMVAR model.	reorder_W_columns
Simulate method for class 'gsmvar' objects	simulate.gsmvar
Estimate a G-StMVAR model based on a StMVAR model that has large degrees of freedom parameters	stmvar_to_gstmvar
Swap the parametrization of a GMVAR, StMVAR, or G-StMVAR model	swap_parametrization
Swap all signs in pointed columns a the W matrix of a structural GMVAR, StMVAR, or G-StMVAR model.	swap_W_signs
Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR, StMVAR, or G-StMVAR process	uncond_moments
Update the stationarity and positive definiteness numerical tolerances of an existing class 'gsmvar' model.	update_numtols
U.S. macroeconomic data used in Virolainen (2025)	usamon
U.S. macroeconomic data	usamone
Perform Wald test for a GMVAR, StMVAR, or G-StMVAR model	Wald_test

Package: gmvarkit 2.2.1

gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

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