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tvReg (version 0.5.0)

Time-Varying Coefficient Linear Regression for Single and Multi-Equations

Description

Fitting time-varying coefficient models both for single and multi-equation regressions, using kernel smoothing techniques.

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Version

Install

install.packages('tvReg')

Monthly Downloads

490

Version

0.5.0

License

GPL (>= 3)

Issues

0

Pull Requests

0

Stars

19

Forks

4

Maintainer

Isabel Casas

Last Published

February 21st, 2020

Functions in tvReg (0.5.0)

tvIRF

Time-Varying Impulse Response Function
tvPhi

Time-Varying Coefficient Arrays of the MA Represention
tvLM

Time-Varying Coefficients Linear Models
tvFE

Time-Varying Fixed Effects Estimation
update.tvlm

Update and Re-fit the Models of package tvReg
forecast

Forecast Methods for Objects in tvReg.
tvCov

Time-varying Variance-Covariance Estimation
tvBcoef

Coefficient Array of an Estimated tvVAR
tvGLS

Time-Varying Generalised Least Squares
tvOLS

Time-Varying Ordinary Least Squares
print.tvlm

Print results of functions in tvReg
tvAR

Time-Varying Autoregressive Model
summary.tvlm

Print results of functions in tvReg
tvPsi

Time-Varying Coefficient Arrays of the Orthogonalised MA Represention
.tvLM.ci

tvReg internal and secondary functions
tvAcoef

Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a TVVAR (no intercept).
tvRE

Time-Varying Random Effects Estimation
tvPLM

Time-Varying Coefficients Panel Data Models
tvSURE

Time-Varying Seemingly Unrelated Regression Equations Model
tvVAR

Time-varying Vector Autoregressive Models
plot.tvsure

Plot Methods for Objects in tvReg
predict.tvlm

Predict Methods for Objects in tvReg.
CEES

Standarised rates from a currency portfolio.
FF5F

Fama and French portfolio daily returns and factors for international markets.
OECD

Variables related to the problem of healthcare spending.
RV

Daily realized variance
confint.tvlm

Confidence Intervals for Objects in tvReg
bw

Bandwidth Selection by Cross-Validation
bwCov

Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.