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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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Version

Install

install.packages('VAR.etp')

Monthly Downloads

370

Version

1.0

License

GPL-2

Maintainer

Jae Kim

Last Published

July 1st, 2022

Functions in VAR.etp (1.0)

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