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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
1.1
1.0
0.7
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Install
install.packages('VAR.etp')
Monthly Downloads
429
Version
0.7
License
GPL-2
Maintainer
Jae H Kim
Last Published
December 2nd, 2014
Functions in VAR.etp (0.7)
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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