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VAR.etp (version 1.1)

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

491

Version

1.1

License

GPL-2

Maintainer

Jae Kim

Last Published

August 31st, 2023

Functions in VAR.etp (1.1)

VAR.etp-package

VAR Modelling: Estimation, Testing, and Prediction
VAR.est

Estimation of unrestricted VAR(p) model parameters
VAR.Wald

Wald test for parameter restrictions
VAR.Pope

Bias-correction for VAR parameter estimators based on Pope's formula
VAR.Rest

VAR parameter estimation with parameter restrictions
VAR.select

Order Selection for VAR models
dat

German investment income consumption in log difference
VAR.LR

The Likelihood Ratio test for parameter restrictions
data1

stock return data used in Kim (2014)
VAR.irf

Orthogonalized impluse response functions from an estimated VAR(p) model
VAR.BPR

Bootstrap Prediction Intervals for VAR(p) Model
VAR.BaBPR

Bootstrap-after-Bootstrap Prediction Intervals for VAR(p) Model
VAR.FOR

VAR Forecasting
VAR.Fore

VAR Forecasting
PR.order

Improved Augmented Regression Method for Predictive Regression
VAR.Boot

Bootstrapping VAR(p) model: bias-correction based on the bootstrap
PR.IARM

Improved Augmented Regression Method (IARM) for Predictive Regression
Rmatrix

Improved Augmented Regression Method for Predictive Regression
PR.Fore

Improved Augmented Regression Method for Predictive Regression