MERM

<p>The data set <code>MERM</code> consists of 
  monthly observations for the log-ratios of 
  prices \(p\), money supply \(m\), and industrial production \(y\) 
  as well as the natural logarithm of nominal exchange rates against the dollar \(s\). 
  It covers the period January 1995 to December 2007 \((T=156)\) for \(N=19\) countries.</p>

datasets

Implements (1) panel cointegration rank tests, (2) estimators for panel
vector autoregressive (VAR) models, and (3) identification methods for panel
structural vector autoregressive (SVAR) models as described in the accompanying vignette.
The implemented functions allow to account for cross-sectional dependence
and for structural breaks in the deterministic terms of the VAR processes.
Among the large set of functions, particularly noteworthy are those that implement
(1) the correlation-augmented inverse normal test on the cointegration rank
by Arsova and Oersal (2021, <doi:10.1016/j.ecosta.2020.05.002>),
(2) the two-step estimator for pooled cointegrating vectors
by Breitung (2005, <doi:10.1081/ETC-200067895>), and
(3) the pooled identification based on independent component analysis
by Herwartz and Wang (2024, <doi:10.1002/jae.3044>).

Lennart Empting

pvars

VAR Modeling for Heterogeneous Panels

MERM function

<p>A long-format data panel of class '<code>data.frame</code>', 
  where the columns <code>id_i</code> and <code>id_t</code> 
  indicate the country and month respectively.</p>

MERM: Data set for the Monetary Exchange Rate Model

Description

Usage

Arguments

Format

References

See Also