GVARX: Perform Global Vector Autoregression Estimation and Inference (original) (raw)
Light procedures for learning 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>.
| Version: | 1.4 |
|---|---|
| Depends: | R (≥ 3.5.0), vars, xts |
| Imports: | lmtest, lubridate, sandwich, strucchange, tsDyn, urca |
| Published: | 2023-01-30 |
| DOI: | 10.32614/CRAN.package.GVARX |
| Author: | Ho Tsung-wu |
| Maintainer: | Ho Tsung-wu |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | GVARX results |
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