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) .


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install.packages("GVARX")

1.1 by Ho Tsung-wu, 13 days ago


Browse source code at https://github.com/cran/GVARX


Authors: Ho Tsung-wu


Documentation:   PDF Manual  


GPL (>= 2) license


Imports lmtest, lubridate, urca, sandwich, strucchange

Depends on vars, xts


See at CRAN