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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