gmvarkit

MaRDI QIDQ75587CRANFDO

Authors Savi Virolainen

Last update 22 January 2024

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

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 (2022) <arXiv:2007.04713>, Savi Virolainen (2022) <arXiv:2109.13648>.

Cites work

• Gaussian and Student's $t$ mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area
• Gaussian mixture vector autoregression
• Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks

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