GVARX: Perform Global Vector Autoregression Estimation and Inference

Perform the estimation and inference of 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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Package details

AuthorHo Tsung-wu
MaintainerHo Tsung-wu <tsungwu@ntnu.edu.tw>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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GVARX documentation built on Feb. 17, 2020, 9:09 a.m.