benjaminpeeters/TVSR: Codes for Time-Varying Spatial Regression Estimations
The package includes two main functions to estimate time-varying spatial regression models. The first performs the Local-Kernel Spatial Regression (LKSR), a semi-parametric estimation procedure based on local maximization of a log-likelihood function. The second method is the Score-Driven Spatial Regression (SDSR), which implements a score-driven approach (Based on Blasquez, 2016). Initially, these programs were coded to assess international monetary spillovers between 1980 and 2020. The reference paper is Peeters, Girard and Gnabo (forthcoming).
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Package details |
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| Author | Benjamin M J Peeters [aut, cre] (<https://orcid.org/0000-0002-5095-2021>) |
| Maintainer | Benjamin M J Peeters <benjaminpeeters@protonmail.com> |
| License | GPL-3 |
| Version | 0.1 |
| URL | https://github.com/benjaminpeeters/TVSR |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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