StVAR: Student's t Vector Autoregression (StVAR)

Estimation of multivariate Student's t dynamic regression models for a given degrees of freedom and lag length. Users can also specify the trends and dummies of any kind in matrix form.

Getting started

Package details

AuthorNiraj Poudyal
MaintainerNiraj Poudyal <>
Package repositoryView on CRAN
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StVAR documentation built on May 1, 2019, 8:22 p.m.