MARX

Simulation, Estimation and Selection of MARX Models

Simulate, estimate (by t-MLE) and select mixed causal-noncausal autoregressive models with possibly exogenous regressors, using methods proposed in Lanne and Saikkonen (2011) <doi:10.2202/1941-1928.1080> and Hecq et al. (2016) <doi:10.15609/annaeconstat2009.123-124.0307>.

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Description file content

Package
MARX
Title
Simulation, Estimation and Selection of MARX Models
Version
0.1
Date
2017-06-16
Author
Sean Telg [aut, cre, cph], Alain Hecq [ctb], Lenard Lieb [ctb]
Maintainer
Sean Telg
Description
Simulate, estimate (by t-MLE) and select mixed causal-noncausal autoregressive models with possibly exogenous regressors, using methods proposed in Lanne and Saikkonen (2011) and Hecq et al. (2016) .
Imports
matlab, fBasics, tseries, stabledist
License
GPL-2
Encoding
UTF-8
LazyData
true
RoxygenNote
5.0.1
Packaged
2017-06-16 09:35:36 UTC; Sean
NeedsCompilation
no
Repository
CRAN
Date/Publication
2017-06-16 20:10:49 UTC

install.packages('MARX')

0.1

6 days ago

Sean Telg

GPL-2

Imports

matlab, fBasics, tseries, stabledist

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