ivx: Robust Econometric Inference

Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) <doi:10.1017/S0266466608090154> and Kostakis, Magdalinos and Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>.

Package details

AuthorKostas Vasilopoulos [cre, aut], Efthymios Pavlidis [aut]
MaintainerKostas Vasilopoulos <k.vasilopoulo@gmail.com>
URL https://github.com/kvasilopoulos/ivx
Package repositoryView on CRAN
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ivx documentation built on Nov. 27, 2020, 5:09 p.m.