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) and <doi:10.1017/S0266466608090154> Kostakis, Magdalinos and Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>.

Package details

AuthorKostas Vasilopoulos [cre, aut], Efthymios Pavlidis [aut]
MaintainerKostas Vasilopoulos <[email protected]>
URL https://github.com/kvasilopoulos/ivx
Package repositoryView on CRAN
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ivx documentation built on May 6, 2019, 1:10 a.m.