In kvasilopoulos/ivx: Robust Econometric Inference

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.path = "man/figures/README-",
  out.width = "100%"
)

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 Kostakis, Magdalinos and Stamatogiannis (2015).

Installation

You can install the development version from GitHub with:

# Install release version from CRAN
install.packages("ivx")


# install.packages("devtools")
devtools::install_github("kvasilopoulos/ivx")

Usage

library(ivx)
library(magrittr)

This is a basic example, lets load the data first:

# Monthly data from Kostakis et al (2014)
kms %>%
  names()

Univariate

And then do the univariate estimation:

ivx(Ret ~ DP, data = kms) %>% 
  summary()

ivx(Ret ~ DP, data = kms, horizon = 4) %>% 
  summary()

Multivariate

And the multivariate estimation, for one or multiple horizons:

ivx(Ret ~ DP + TBL, data = kms) %>% 
  summary()

ivx(Ret ~ DP + TBL, data = kms, horizon = 4) %>% 
  summary()

Yang et al. (2020) IVX-AR methodology

ivx_ar(hpi ~ cpi, data = ylpc) %>% 
  summary()

---

Please note that the 'ivx' project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.

kvasilopoulos/ivx documentation built on May 11, 2021, 9:33 p.m.