check_same_means

<code>check_same_means</code> checks whether the parametrization is correct for
 usage of same means restrictions

internal

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 (2025) <doi:10.1080/07350015.2024.2322090>,
Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.

Savi Virolainen

gmvarkit

Estimate Gaussian and Student's t Mixture Vector Autoregressive
Models

check_same_means function

<dl><dt>parametrization</dt>
<dd><code>"intercept"</code> or <code>"mean"</code> determining whether the model is parametrized with intercept
parameters \(\phi_{m,0}\) or regime means \(\mu_{m}\), m=1,...,M.</dd>
<dt>same_means</dt>
<dd>Restrict the mean parameters of some regimes to be the same? Provide a list of numeric vectors
such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if
<code>M=3</code>, the argument <code>list(1, 2:3)</code> restricts the mean parameters of the second and third regime to be
the same but the first regime has freely estimated (unconditional) mean. Ignore or set to <code>NULL</code> if mean parameters
should not be restricted to be the same among any regimes. This constraint is available only for mean parametrized models;
that is, when <code>parametrization="mean"</code>.</dd></dl>

Arguments

Check whether the parametrization is correct for usage of same means restrictions — check_same_means

<dl>

<dt>parametrization</dt>
<dd><code>"intercept"</code> or <code>"mean"</code> determining whether the model is parametrized with intercept
parameters \(\phi_{m,0}\) or regime means \(\mu_{m}\), m=1,...,M.</dd>


<dt>same_means</dt>
<dd>Restrict the mean parameters of some regimes to be the same? Provide a list of numeric vectors
such that each numeric vector contains the regimes that should share the common mean parameters. For instance, if
<code>M=3</code>, the argument <code>list(1, 2:3)</code> restricts the mean parameters of the second and third regime to be
the same but the first regime has freely estimated (unconditional) mean. Ignore or set to <code>NULL</code> if mean parameters
should not be restricted to be the same among any regimes. This constraint is available only for mean parametrized models;
that is, when <code>parametrization="mean"</code>.</dd>

</dl>

check_same_means: Check whether the parametrization is correct for usage of same means restrictions

Description

Usage

Value

Arguments