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VAR.etp (version 1.0)
VAR Modelling: Estimation, Testing, and Prediction
Description
A collection of the functions for estimation, hypothesis testing, prediction for stationary vector autoregressive models.
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1.1
1.0
0.7
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Install
install.packages('VAR.etp')
Monthly Downloads
444
Version
1.0
License
GPL-2
Maintainer
Jae Kim
Last Published
July 1st, 2022
Functions in VAR.etp (1.0)
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Rmatrix
Improved Augmented Regression Method for Predictive Regression
VAR.LR
The Likelihood Ratio test for parameter restrictions
VAR.BaBPR
Bootstrap-after-Bootstrap Prediction Intervals for VAR(p) Model
PR.order
Improved Augmented Regression Method for Predictive Regression
VAR.Fore
VAR Forecasting
VAR.Boot
Bootstrapping VAR(p) model: bias-correction based on the bootstrap
PR.IARM
Improved Augmented Regression Method (IARM) for Predictive Regression
PR.Fore
Improved Augmented Regression Method for Predictive Regression
VAR.BPR
Bootstrap Prediction Intervals for VAR(p) Model
data1
stock return data used in Kim (2014)
VAR.etp-package
VAR Modelling: Estimation, Testing, and Prediction
VAR.select
Order Selection for VAR models
dat
German investment income consumption in log difference
VAR.est
Estimation of unrestricted VAR(p) model parameters
VAR.Wald
Wald test for parameter restrictions
VAR.FOR
VAR Forecasting
VAR.Pope
Bias-correction for VAR parameter estimators based on Pope's formula
VAR.Rest
VAR parameter estimation with parameter restrictions
VAR.irf
Orthogonalized impluse response functions from an estimated VAR(p) model