GVARX: Perform Stationary Global Vector Autoregression Estimation and Inference

Perform the estimation and inference of stationary Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) <doi:10.1198/073500104000000019> and Dees, di Mauro, Pesaran and Smith (2007) <doi:10.1002/jae.932>.

Version: 1.1
Depends: R (≥ 2.10), vars, xts
Imports: lmtest, lubridate, urca, sandwich, strucchange
Published: 2019-02-08
Author: Ho Tsung-wu
Maintainer: Ho Tsung-wu <tsungwu at ntnu.edu.tw>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: GVARX results

Downloads:

Reference manual: GVARX.pdf
Package source: GVARX_1.1.tar.gz
Windows binaries: r-devel: GVARX_1.1.zip, r-release: GVARX_1.1.zip, r-oldrel: GVARX_1.1.zip
OS X binaries: r-release: GVARX_1.1.tgz, r-oldrel: GVARX_1.1.tgz

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