VAR.etp (version 0.7)

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

Description

Estimation, Hypothesis Testing, Prediction in Stationary Vector Autoregressive Models

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.