| add_data | Add data to an object of class 'gmvar' defining a GMVAR model |
| alt_gmvar | Construct a GMVAR model based on results from an arbitrary estimation round of 'fitGMVAR' |
| calc_gradient | Calculate gradient or Hessian matrix |
| calc_hessian | Calculate gradient or Hessian matrix |
| check_parameters | Check that the given parameter vector satisfies the model assumptions |
| cond_moments | Compute conditional moments of a GMVAR model |
| cond_moment_plot | Conditional mean or variance plot for a GMVAR model |
| diagnostic_plot | Quantile residual diagnostic plot for a GMVAR model |
| diag_Omegas | Simultaneously diagonalize two covariance matrices |
| fitGMVAR | Two-phase maximum likelihood estimation of a GMVAR model |
| GAfit | Genetic algorithm for preliminary estimation of a GMVAR model |
| gdpdef | U.S. real GDP percent change and GDP implicit price deflator percent change. |
| get_boldA_eigens | Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients |
| get_foc | Calculate gradient or Hessian matrix |
| get_gradient | Calculate gradient or Hessian matrix |
| get_hessian | Calculate gradient or Hessian matrix |
| get_omega_eigens | Calculate the eigenvalues of the "Omega" error term covariance matrices |
| get_regime_autocovs | Calculate regimewise autocovariance matrices |
| get_regime_means | Calculate regime means mu_{m} |
| get_soc | Calculate gradient or Hessian matrix |
| GFEVD | Estimate generalized forecast error variance decomposition for a structural GMVAR model. |
| GIRF | Estimate generalized impulse response function for a structural GMVAR model. |
| GMVAR | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| gmvarkit | gmvarkit: Estimate Gaussian Mixture Vector Autoregressive (GMVAR) model |
| gmvar_to_sgmvar | Switch from two-regime reduced form GMVAR model to a structural GMVAR model. |
| in_paramspace | Determine whether the parameter vector lies in the parameter space |
| in_paramspace_int | Determine whether the parameter vector lies in the parameter space |
| iterate_more | Maximum likelihood estimation of a GMVAR model with preliminary estimates |
| logLik.gmvar | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| loglikelihood | Compute log-likelihood of a GMVAR model using parameter vector |
| LR_test | Perform likelihood ratio test for a GMVAR or SGMVAR model |
| plot.gfevd | Estimate generalized forecast error variance decomposition for a structural GMVAR model. |
| plot.girf | Estimate generalized impulse response function for a structural GMVAR model. |
| plot.gmvar | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| plot.gmvarpred | plot method for class 'gmvarpred' objects |
| plot.qrtest | Quantile residual tests |
| predict.gmvar | Predict method for class 'gmvar' objects |
| print.gfevd | Estimate generalized forecast error variance decomposition for a structural GMVAR model. |
| print.girf | Estimate generalized impulse response function for a structural GMVAR model. |
| print.gmvar | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| print.gmvarpred | Print method for class 'gmvarpred' objects |
| print.gmvarsum | Summary print method from objects of class 'gmvarsum' |
| print.qrtest | Quantile residual tests |
| print_std_errors | Print standard errors of GMVAR model in the same form as the model estimates are printed |
| profile_logliks | Plot profile log-likehoods around the estimates |
| quantile_residuals | Calculate multivariate quantile residuals of a GMVAR model |
| quantile_residual_tests | Quantile residual tests |
| random_ind2 | Create somewhat random parameter vector of a GMVAR model that is always stationary |
| redecompose_Omegas | In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the order of the covariance matrices. |
| reorder_W_columns | Reorder columns of the W-matrix and lambda parameters of a structural GMVAR model. |
| residuals.gmvar | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| simulateGMVAR | Simulate from GMVAR process |
| summary.gmvar | Create a class 'gmvar' object defining a reduced form or structural GMVAR model |
| swap_parametrization | Swap the parametrization of a GMVAR model |
| swap_W_signs | Swap all signs in pointed columns a the W matrix of a structural GMVAR model. |
| uncond_moments | Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR process |
| update_numtols | Update the stationarity and positive definiteness numerical tolerances of an existing class 'gmvar' model. |
| Wald_test | Perform Wald test for a GMVAR or SGMVAR model |