gmvarkit

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. doi:10.1016/j.jeconom.2016.02.012, doi:10.1080/07350015.2024.2322090, doi:10.48550/arXiv.2109.13648.

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