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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 and generalized
forecast error variance decomposition.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.

Savi Virolainen

gmvarkit

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vec: Vectorization operator

Description

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