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Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
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
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>.
- Gaussian mixture vector autoregression
- Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks
- Gaussian and Student's $t$ mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area
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