LauraBringmann/tvvarGAM: Estimates time-varying VAR model using GAM
With this package one can estimate time-varying vector autoregressive models based on generalized additive models. It uses a regression form, making it easy to use. At the moment it can only handle gradual smooth change of both the intercept and the vector autoregressive parameters.
Getting started
Browse package contents
Package details |
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| Maintainer | Laura F. Bringmann <l.f.bringmann@rug.nl> |
| License | GPL (>=2) |
| Version | 0.2.0 |
| URL | https://github.com/LauraBringmann/tvvarGAM |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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