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) and Dees, di Mauro, Pesaran and Smith (2007) .


Reference manual

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1.1 by Ho Tsung-wu, 8 months ago

Browse source code at

Authors: Ho Tsung-wu

Documentation:   PDF Manual  

GPL (>= 2) license

Imports lmtest, lubridate, urca, sandwich, strucchange

Depends on vars, xts

See at CRAN