StVAR: Student's t Vector Autoregression (StVAR)

This package contains a function to estimate heteroskedastic Student's t Vector Autoregression (StVAR) for a given degrees of freedom and lag length.

Version: 1.0
Depends: MCMCpack, numDeriv, car, fMultivar, moments
Published: 2013-04-25
Author: Niraj Poudyal
Maintainer: Niraj Poudyal <nirajp6 at vt.edu>
License: GPL-2
NeedsCompilation: no
In views: TimeSeries
CRAN checks: StVAR results

Downloads:

Reference manual: StVAR.pdf
Package source: StVAR_1.0.tar.gz
OS X binary: StVAR_1.0.tgz
Windows binary: StVAR_1.0.zip