vbv: Time series decomposition with VBV (Verallgemeinertes Berliner Verfahren)

vbv implements the VBV as described in the upcoming article "Decomposition of Time Series using the Generalised Berlin Method (VBV)" by Hebbel and Steuer, to be published in Jan Beran, Yuanhua Feng, Hartmut Hebbel (Eds.): Empirical Economic and Financial Research - Theory, Methods and Practice, Festschrift in Honour of Prof. Siegfried Heiler. Series: Advanced Studies in Theoretical and Applied Econometrics. Springer 2014, p. 9-40. VBV is a method to decompose a time series using penalized splines. Both methods, static estimation and moving estimation are implemented.

AuthorDetlef Steuer <steuer@hsu-hh.de>, Hartmut Hebbel <hartmut.hebbel@hsu-hh.de>
Date of publication2013-12-17 09:52:07
MaintainerDetlef Steuer <steuer@hsu-hh.de>
LicenseGPL-3
Version0.5

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