Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (2020) <arXiv:2007.04713>.
| Version: | 1.4.1 |
| Depends: | R (≥ 3.6.0) |
| Imports: | Brobdingnag (≥ 1.2-4), mvnfast (≥ 0.2.5), parallel (≥ 3.0.0), stats (≥ 3.0.0), pbapply (≥ 1.4-2), graphics (≥ 3.0.0), grDevices (≥ 3.0.0) |
| Suggests: | testthat, knitr, rmarkdown |
| Published: | 2021-01-27 |
| Author: | Savi Virolainen [aut, cre] |
| Maintainer: | Savi Virolainen <savi.virolainen at helsinki.fi> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | gmvarkit results |
| Reference manual: | gmvarkit.pdf |
| Vignettes: |
Introduction to gmvarkit |
| Package source: | gmvarkit_1.4.1.tar.gz |
| Windows binaries: | r-devel: gmvarkit_1.4.1.zip, r-release: gmvarkit_1.4.1.zip, r-oldrel: gmvarkit_1.4.1.zip |
| macOS binaries: | r-release: gmvarkit_1.4.1.tgz, r-oldrel: gmvarkit_1.4.1.tgz |
| Old sources: | gmvarkit archive |
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