README.md

In benjaminpeeters/TVSR: Codes for Time-Varying Spatial Regression Estimations

R/TVSR is an R package including two main functions to estimate time-varying spatial regression models: LKSR and SDSR.

1/ the Local-Kernel Spatial Regression (LKSR) is a semi-parametric estimation procedure based on local maximization of a log-likelihood function.

2/ the Score-Driven Spatial Regression (SDSR) implements a score-driven approach (based on Blasquez, 2016).

Initially, these programs were coded to assess international monetary spillovers between 1980 and 2020.

Reference: Peeters, Girard and Gnabo (forthcoming).

benjaminpeeters/TVSR documentation built on July 7, 2022, 5:45 p.m.