tvReg

This R package covers a large range of semiparametric regression methods with time-varying coefficients.

Installation

You can install the released version of tvReg from CRAN with:

install.packages("tvReg")

or the development version from GitHub with:

devtools::install_github("icasas/tvReg")

Main functions

The five basic functions in this package are tvLM(), tvAR(), tvSURE(), tvVAR() and tvIRF(). Moreover, this package provides the confint(), fitted(), forecast(), plot(), predict(), print(), resid() and summary() methods adapted to the class attributes of the tvReg. In addition, it includes bandwidth selection methods, time-varying variance-covariance estimators and two estimation procedures: the time-varying ordinary least squares, which are implemented in the tvOLS() methods and the time-varying generalised least squares, which are implemented in the tvGLS() methods.

Further information

Details on the theory and applications to finance and macroeconomics can be found in Casas, Isabel and Fernandez-Casal, 2019, and in the package vignette https://icasas.github.io/tvReg/articles/tvReg.html.

References

Casas, Isabel and Fernandez-Casal, Ruben, tvReg: Time-varying Coefficient Linear Regression for Single and Multi-Equations in R (April 1, 2019). Available at SSRN:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3363526.