VAR.etp1.1 package

VAR Modelling: Estimation, Testing, and Prediction

PR.Fore

Improved Augmented Regression Method for Predictive Regression

PR.IARM

Improved Augmented Regression Method (IARM) for Predictive Regression

PR.order

Improved Augmented Regression Method for Predictive Regression

Rmatrix

Improved Augmented Regression Method for Predictive Regression

VAR.BaBPR

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

VAR.Boot

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

VAR.BPR

Bootstrap Prediction Intervals for VAR(p) Model

VAR.est

Estimation of unrestricted VAR(p) model parameters

VAR.etp-package

VAR Modelling: Estimation, Testing, and Prediction

VAR.FOR

VAR Forecasting

VAR.Fore

VAR Forecasting

VAR.irf

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

VAR.LR

The Likelihood Ratio 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

VAR.Wald

Wald test for parameter restrictions

Download source packageRead PDF manual

A collection of the functions for estimation, hypothesis testing, prediction for stationary vector autoregressive models.

  • Maintainer: Jae H. Kim
  • License: GPL-2
  • Last published: 2023-08-31