MARX: Simulation, Estimation and Selection of MARX Models
Version 0.1

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) .

Getting started

Package details

AuthorSean Telg [aut, cre, cph], Alain Hecq [ctb], Lenard Lieb [ctb]
Date of publication2017-06-16 20:10:49 UTC
MaintainerSean Telg <[email protected]>
Package repositoryView on CRAN
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MARX documentation built on June 20, 2017, 9:11 a.m.