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 <[email protected]>
LicenseGPL-2
Version1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("StVAR")

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StVAR documentation built on May 29, 2017, 11:22 a.m.