GVAR: Vector Error Correction Model (VECM), VECM with exogenous I(1) variables, Global VAR (GVAR)

Estimate, test and simulate VECM and GVAR models, forcast and impulse response analysis.

Author
Rainer Puhr <rainer.puhr@aon.at>, Klaus Rheinberger <Klaus.Rheinberger@fhv.at>, Martin Summer <Martin.Summer@oenb.at>, Martin.Feldkircher <Martin.Feldkircher@oenb.at> with contributions from Stefan Zeugner <Stefan.Zeugner@ulb.ac.be>.
Date of publication
2015-05-18 03:32:40
Maintainer
Rainer Puhr <rainer.puhr@aon.at>
License
GPL (>= 2)
Version
0.6
URLs

View on R-Forge

Man pages

case.test
test case
case.testP
Print function for intercept/trend structure testing
cv.tables.johansen
Estimates of critical values of the limiting distributions of...
CV.trace.table
Estimates of critical values of the limiting distributions of...
est.vecm.mdls
Estimation of Vector Error Correction Models
est.we.mdls
Estimation of Weakly Exogenous VEC Models
est.we.mdls2
Estimate VECMs ala pesaran
FEVD
Forecast Error Variance Decomposition
GIR
Generalized Impulse Response
GVAR
Global Vector Auto-Regressive Modelling
GVAR2
GVAR ala pesaran
OIR
Orthogonalized Impulse Response
pesaran26
Pesaran's sample of 26 countries
PP
Persistence Profiles
predict.GVAR
Forecasting GVAR objects
print.vecm
Printing objects of class vecm
rank.test.vecm
Test for Cointegrating Rank in Vector Error Correction Models
rank.test.we2
test rank ala pesaran
RDp
German long term interest and inflation rate
set.mdl
Transform VECM to VAR
set.mdl2
VEC to VAR ala pesaran
summary.vecm
Summarizing objects of class vecm
we.diag
Exogeneity diagnostics

Files in this package

GVAR/DESCRIPTION
GVAR/NAMESPACE
GVAR/R
GVAR/R/FEVD.R
GVAR/R/GIR.R
GVAR/R/GVAR.R
GVAR/R/GVAR_pesaran.R
GVAR/R/OIR.R
GVAR/R/PP.R
GVAR/R/case.test.R
GVAR/R/caseTest_print.R
GVAR/R/fctn.est.vecm.mdls.R
GVAR/R/fctn.est.we.mdls_pesaran.R
GVAR/R/fctn.est.we.mdls_v4.R
GVAR/R/predict.GVAR.R
GVAR/R/predict.GVAR_pesaran.R
GVAR/R/print.vecm.R
GVAR/R/rank.test.vecm.R
GVAR/R/rank.test.we.R
GVAR/R/rank.test.we_pesaran.R
GVAR/R/set.mdl.R
GVAR/R/set.mdl_pesaran.R
GVAR/R/summary.vecm.R
GVAR/R/we.diag.r
GVAR/data
GVAR/data/CV.maxeigen.table.rda
GVAR/data/CV.trace.table.rda
GVAR/data/RDp.rda
GVAR/data/cv.tables.johansen.rda
GVAR/data/pesaran26.rda
GVAR/man
GVAR/man/CV.trace.table.Rd
GVAR/man/FEVD.Rd
GVAR/man/GIR.Rd
GVAR/man/GVAR.Rd
GVAR/man/GVAR2.Rd
GVAR/man/OIR.Rd
GVAR/man/PP.Rd
GVAR/man/RDp.Rd
GVAR/man/case.test.Rd
GVAR/man/case.testP.Rd
GVAR/man/cv.tables.johansen.Rd
GVAR/man/est.vecm.mdls.Rd
GVAR/man/est.we.mdls.Rd
GVAR/man/est.we.mdls2.Rd
GVAR/man/pesaran26.Rd
GVAR/man/predict.GVAR.Rd
GVAR/man/print.vecm.Rd
GVAR/man/rank.test.vecm.Rd
GVAR/man/rank.test.we2.Rd
GVAR/man/set.mdl.Rd
GVAR/man/set.mdl2.Rd
GVAR/man/summary.vecm.Rd
GVAR/man/we.diag.Rd