GVARX (version 1.4)

Perform Global Vector Autoregression Estimation and Inference

Description

Light procedures for learning 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

1.4

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

January 30th, 2023

Functions in GVARX (1.4)

getNWCOEFexo

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

getWhiteCOEF

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

getWhiteCOEFexo

Extract all-country coefficient estimates with White robust covariance.

tradeweight1

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

tradeweightx

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

getNWCOEF

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

getCOEFexo

All-country LS coefficient estimates.

GVARest

Estimate country-specific VAR in a GVAR setting

getCOEF

Return country-specific standard LS coefficient estimates.

GVECMest

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

GVAR_GF

Compute the structural coefficients matrices G0, G1, G2, and F1, F2

averageCORgvecm

Comparing average residual correlations of GVECM and VECM.

GVECM_GF

Compute the structural coefficients matrices G0, G1, G2, and F1, F2

GVAR_Ft

Function to generate foreign variables

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.