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GVARX (version 1.2)

Perform Global Vector Autoregression Estimation and Inference

Description

Perform the estimation and inference of Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) and Dees, di Mauro, Pesaran and Smith (2007) .

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Version

Install

install.packages('GVARX')

Monthly Downloads

199

Version

1.2

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

December 20th, 2019

Functions in GVARX (1.2)

getNWCOEFexo

Extract all-country coefficient estimates with Newy-West robust covariance.
getWhiteCOEF

Extract country-specific LS coefficient estimates with White robust covariance.
getNWCOEF

Extract country-specific LS coefficient estimates with Newy-West robust covariance.
getCOEFexo

All-country LS coefficient estimates.
tradeweight1

A single year cross-section bilateral trade weight matrix, 2014.
GVAR_Xt

Compute the G0, G1, G2, and F1, F2 matrices for filtering Xt
getWhiteCOEFexo

Extract all-country coefficient estimates with White robust covariance.
tradeweightx

A nine-year bilateral trade weight matrix, 2006-2014
getCOEF

Return country-specific standard LS coefficient estimates.
GVARest

Estimate country-specific VAR in a GVAR setting
averageCORgvecm

Comparing average residual correlations of GVECM and VECM.
PriceVol

Dataset price-volumn of 17 mareket indices
GVECM.jo

Estimate country-specific Johansen test results in a Global VECM setting
averageCORgvar

Comparing average residual correlations.
GVECM_Xt

Compute the G0, G1, G2, and F1, F2 matrices for filtering Xt
GVECMest

Estimate country-specific Engle-Granger VECM in a Global VECM setting
GVAR_Ft

Function to generate foreign variables