MARX: Simulation, Estimation, Model Selection and Forecasting for MARX Models

Simulate, estimate (by t-MLE), select and forecast 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>.

Getting started

Package details

AuthorSean Telg [aut, cre, cph], Alain Hecq [ctb], Lenard Lieb [ctb]
MaintainerSean Telg <[email protected]>
LicenseGPL-2
Version0.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("MARX")

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MARX documentation built on April 25, 2018, 1:04 a.m.