VAR.etp-package: VAR Modelling: Estimation, Testing, and Prediction

VAR.etp-packageR Documentation

VAR Modelling: Estimation, Testing, and Prediction

Description

Estimation, Hypothesis Testing, Prediction in Stationary Vector Autoregressive Models

Details

Package: VAR.etp
Type: Package
Version: 1.1
Date: 2023-08-31
License: GPL-2

The data set dat.rda is from Lutkepohl's book.

It is German Macrodata in log difference.

Bootstrap bias-correction and prediction intervals are also included.

Estimation and Forecasting based on Predictive Regression is also included.

Author(s)

Jae H. Kim

Maintainer: Jae H. Kim


VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.