VAR.etp v0.7

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VAR modelling: estimation, testing, and prediction

Estimation, Hypothesis Testing, Prediction for Stationary Vector Autoregressive Models

Functions in VAR.etp

Name Description
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
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Details

Type Package
Date 2014-12-2
License GPL-2
Packaged 2014-12-02 00:21:57 UTC; jkim
NeedsCompilation no
Repository CRAN
Date/Publication 2014-12-02 07:45:52
Contributors Jae. Kim

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