gmvarkit
Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
Description
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 (in press) <doi:10.1016/j.ecosta.2025.09.003>.
Downloads
525
Last 30 days
6804th
1.2K
Last 90 days
5.6K
Last year
Trend: +57.7% (30d vs prior 30d)
0
Last 30 days
25
Last 90 days
125
Last year
Trend: -100% (30d vs prior 30d)
4
Last 7 days
14
Last 30 days
0
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 9, 2026
ERROR 12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Jun 8, 2026
tests
Running ‘testthat.R’ [121s/497s]
Running the tests in ‘tests/testthat.R’ failed.
Complete output:
> library(testthat)
> library(gmvarkit)
>
> test_check("gmvarkit")
Using 2 cores to estimate 2 GIRFs for 2 structural shocks, each based on 2
...[truncated]...
seeds = 1:2, plot_res = FALSE) at test_GIRFandGFEVD.R:52:3
2. └─parallel::makeCluster(ncores)
3. └─parallel::makePSOCKcluster(names = spec, ...)
[ FAIL 1 | WARN 0 | SKIP 0 | PASS 1808 ]
Error:
! Test failures.
Execution halted
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
Code
Structure
Lines of code
31,796
Files
185
Compiled share
0%
Has compiled src
No
Language breakdown
API
Exported functions
44
Internal functions
89
Recent export changes
Testing & CI
Has tests
Yes
Test-to-code ratio
0.68
testthat edition
–
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
92.3%
\dontrun example ratio
42.9%
Roxygen coverage
100%
Has pkgdown
No
NEWS present
Yes
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
90%
Unsafe pattern score
0
Dep constraint coverage
100%
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
3.6.0
System requirements
–
C++ standard
–
License
GPL-3
License flags
SPDX valid, OSI approved
History
Versions
35
First release
2018-07-28
Latest release
2025-10-06
Avg cadence
53 days
Cold removal rate
100%
Dep drift
20
LOC over versions
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.