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GVARX (version 1.3)

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

1.3

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

February 17th, 2020

Functions in GVARX (1.3)

getNWCOEFexo

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

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

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

Extract country-specific LS coefficient estimates with White robust covariance.
tradeweight1

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

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

All-country LS coefficient estimates.
getNWCOEF

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

Comparing average residual correlations of GVECM and VECM.
GVECM_Xt

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

Return country-specific standard LS coefficient estimates.
GVECMest

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

Function to generate foreign variables
GVECM.jo

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

Dataset price-volumn of 17 mareket indices
GVARest

Estimate country-specific VAR in a GVAR setting
averageCORgvar

Comparing average residual correlations.