philgoucou/tvpridge: Time-Varying Parameters by Ridge Regressions
This function runs 2SRR, a technique allowing parameters of a linear equation(s) to evolve according to random walks. Computations are carried via a closed-form solution in the form of data-augmented ridge regression rather than with typically used burdensome filtering procedures.
Getting started
Browse package contents
Package details |
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| Author | Philippe Goulet Coulombe |
| Maintainer | PGC <gouletc@sas.upenn.edu> |
| License | GPL-3 |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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