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VAR.etp (version 0.7)

VAR modelling: estimation, testing, and prediction

Description

Estimation, Hypothesis Testing, Prediction for Stationary Vector Autoregressive Models

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Version

Install

install.packages('VAR.etp')

Monthly Downloads

421

Version

0.7

License

GPL-2

Maintainer

Jae H Kim

Last Published

December 2nd, 2014

Functions in VAR.etp (0.7)

VAR.BPR

Bootstrap Prediction Intervals for VAR(p) Model

VAR.Boot

Bootstrapping VAR(p) model: bias-correction based on the bootstrap

data1

stock return data used in Kim (2014)

VAR.est

Estimation of unrestricted VAR(p) model parameters

dat

German investment income consumption in log difference

PR.Fore

Improved Augmented Regression Method for Predictive Regression

PR.order

Improved Augmented Regression Method for Predictive Regression

VAR.BaBPR

Bootstrap-after-Bootstrap Prediction Intervals for VAR(p) Model

PR.IARM

Improved Augmented Regression Method (IARM) for Predictive Regression

Rmatrix

Improved Augmented Regression Method for Predictive Regression

VAR.Fore

VAR Forecasting

VAR.Wald

Wald test for parameter restrictions

VAR.FOR

VAR Forecasting

VAR.select

Order Selection for VAR models

VAR.LR

The Likelihood Ratio test for parameter restrictions

VAR.etp-package

VAR modelling: estimation, testing, and prediction

VAR.irf

Orthogonalized impluse response functions from an estimated VAR(p) model

VAR.Pope

Bias-correction for VAR parameter estimators based on Pope's formula

VAR.Rest

VAR parameter estimation with parameter restrictions