Package: VAR.etp 1.1

VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

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

Authors:Jae. H. Kim

# Install 'VAR.etp' in R:

install.packages('VAR.etp', repos = c('https://jh8080.r-universe.dev', 'https://cloud.r-project.org'))

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

Last updated 1 years agofrom:65d7b0fdcd. Checks:OK: 7. Indexed: yes.

Dependencies:

Help page	Topics
VAR Modelling: Estimation, Testing, and Prediction	VAR.etp-package VAR.etp
German investment income consumption in log difference	dat
stock return data used in Kim (2014)	data1
Improved Augmented Regression Method for Predictive Regression	PR.Fore
Improved Augmented Regression Method (IARM) for Predictive Regression	PR.IARM
Improved Augmented Regression Method for Predictive Regression	PR.order
Improved Augmented Regression Method for Predictive Regression	Rmatrix
Bootstrap-after-Bootstrap Prediction Intervals for VAR(p) Model	VAR.BaBPR
Bootstrapping VAR(p) model: bias-correction based on the bootstrap	VAR.Boot
Bootstrap Prediction Intervals for VAR(p) Model	VAR.BPR
Estimation of unrestricted VAR(p) model parameters	VAR.est
VAR Forecasting	VAR.FOR
VAR Forecasting	VAR.Fore
Orthogonalized impluse response functions from an estimated VAR(p) model	VAR.irf
The Likelihood Ratio test for parameter restrictions	VAR.LR
Bias-correction for VAR parameter estimators based on Pope's formula	VAR.Pope
VAR parameter estimation with parameter restrictions	VAR.Rest
Order Selection for VAR models	VAR.select
Wald test for parameter restrictions	VAR.Wald