gmvarkit

MaRDI QIDQ75587CRANFDO

Authors Savi Virolainen

Last update 4 August 2026

Copyright license GNU General Public License, version 3.0

Software version identifier 2.0.6, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.3.0, 1.3.1, 1.4.0, 1.4.1, 1.4.2, 1.5.0, 2.0.0, 2.0.1, 2.0.2, 2.0.3, 2.0.4, 2.0.5, 2.0.7, 2.0.8, 2.0.10, 2.1.0, 2.1.1, PACKAGES.rds, 2.1.2, 2.1.3, 2.1.4, 2.2.0, 2.2.1, 2.2.2

Description

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>.

Cites work

• A Gaussian and Student’s <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e3504" altimg="si983.svg"> <mml:mi>t</mml:mi> </mml:math> mixture vector autoregressive model with an application to monetary policy shocks
• A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
• Gaussian mixture vector autoregression

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