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 handly gradual smooth change of both the intercept and the vector autoregressive parameters.

Getting started

Package details

Authorperson("Laura", "Bringmann", email = "[email protected]", role = c("aut", "cre"), "Jonas","Haslbeck")
MaintainerThe package maintainer <[email protected]>
LicenseWhat license is it under?
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
LauraBringmann/tvvarGAM documentation built on Oct. 16, 2018, 10:11 p.m.