VAR.etp (version 0.7)

VAR.etp-package: VAR modelling: estimation, testing, and prediction

Description

Estimation, Hypothesis Testing, Prediction in Stationary Vector Autoregressive Models

Arguments

Details

Package:
VAR.etp
Type:
Package
Version:
0.7
Date:
2014-12-2
License:
GPL-2

The data set dat.rda is from Lutkepohl's book.

It is German Macrodata in log difference.

Bootstrap bias-correction and prediction intervals are also included.

Estimation and Forecasting based on Predictive Regression is also included.