GVARX

Perform Stationary Global Vector Autoregression Estimation and Inference

Perform the estimation and inference of stationary Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) <DOI:10.1198/073500104000000019> and Dees, di Mauro, Pesaran and Smith (2007) <DOI:10.1002/jae.932>.

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Description file content

Package
GVARX
Type
Package
Title
Perform Stationary Global Vector Autoregression Estimation and Inference
Version
1.1
Date
2019-02-05
Author
Ho Tsung-wu
Maintainer
Ho Tsung-wu
Description
Perform the estimation and inference of stationary Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) and Dees, di Mauro, Pesaran and Smith (2007) .
License
GPL (>= 2)
LazyData
TRUE
LazyLoad
yes
Depends
R (>= 2.10),vars,xts
Imports
lmtest, lubridate, urca, sandwich, strucchange
NeedsCompilation
no
Packaged
2019-02-04 06:26:08 UTC; tsungwu
Repository
CRAN
Date/Publication
2019-02-08 15:53:28 UTC

install.packages('GVARX')

1.1

13 days ago

Ho Tsung-wu

GPL (>= 2)

Depends on

R (>= 2.10),vars,xts

Imports

lmtest, lubridate, urca, sandwich, strucchange

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