dataset

Monthly growth rates of commodity prices, exchange rate and industrial production index from February 1980 until October 2010. Levels of these
series can be downloaded from IMF and Federal Reserve Bank of St. Louis.

datasets

commodity

Simulate, estimate (by t-MLE), select and forecast mixed causal-noncausal autoregressive models with possibly exogenous regressors, using methods proposed in Lanne and Saikkonen (2011) <doi:10.2202/1941-1928.1080> and Hecq et al. (2016) <doi:10.15609/annaeconstat2009.123-124.0307>.

Sean Telg

MARX

Simulation, Estimation, Model Selection and Forecasting for MARX
Models

Alain Hecq

Lenard Lieb

commodity function

A data frame with 441 observations on the following 8 variables.<dl class="dl-horizontal">
 <dt><code>X_date_</code></dt><dd>a vector with dates</dd>
 <dt><code>dlnbev</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnind</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnrawm</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnmeta</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnoil</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnipi</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnex</code></dt><dd>a numeric vector</dd>
 </dl>

Format

Data: Monthly growth rates of commodity prices, exchange rate and industrial production index. — commodity

A data frame with 441 observations on the following 8 variables.<dl class='dl-horizontal'>
 <dt><code>X_date_</code></dt><dd>a vector with dates</dd>
 <dt><code>dlnbev</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnind</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnrawm</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnmeta</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnoil</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnipi</code></dt><dd>a numeric vector</dd>
 <dt><code>dlnex</code></dt><dd>a numeric vector</dd>
 </dl>

commodity: Data: Monthly growth rates of commodity prices, exchange rate and industrial production index.

Description

Usage

Arguments

Format

Examples