Exchange Rate Regime Analysis

Exchange rate regression and structural change tools for estimating, testing, dating, and monitoring (de facto) exchange rate regimes.


Changes in Version 1.0-3

o Depends/Imports has been streamlined. Only zoo and strucchange are in Depends now. R (>= 2.14.0) is now required.

o The vignettes have been moved from inst/doc/ to vignettes/ in the source package.

o Only car::linearHypothesis() is employed in "fxregime" now. The old car::linear.hypothesis() has been deprecated for a while and is now not longer supported by fxpegtest().

Changes in Version 1.0-2

o Fixed lines() method for "fxregimes" objects.

o Recompressed data sets in package to reduce file storage requirements.

o Some technical changes for new R 2.14.0, e.g., adding [email protected] in DESCRIPTION, recompressing data, etc.

Changes in Version 1.0-1

o Modified fxpegtest() to use linearHypothesis() instead of linear.hypothesis() in case car 2.0-0 or greater is installed.

Changes in Version 1.0-0

o Release to accompany forthcoming publication of the methodology in Computational Statistics & Data Analysis. doi:10.1016/j.csda.2009.12.005

o Updated version of FXRatesCHF data: continued until 2010-02-12 (previous version 2009-08-14).

o Added optional high performance computing support by means of the "foreach" package for the fxregime() function. This can be leveraged to alleviate the computational burden in the dynamic programming approach. Simply register a parallel backend (e.g., by means of "doMC" or "doSNOW") and call fxregime() with additional argument hpc = "foreach".

Changes in Version 0.3-1

o enhanced documentation for new Rd parser.

Changes in Version 0.3-0

o Updated version of FXRatesCHF data: The data continues until 2009-08-14 (only 2008-01-04 in the previous version). The column VEB was renamed to the new VEF to reflect that Venezuela went from the old bolivar to the bolivar forte (divided by 1000 due to inflation).

o The "CNY" vignette was updated/extended to the new data.

Changes in Version 0.2-1

o removed \itemize in .Rd files for new R-devel.

Changes in Version 0.2-0

o Added a confint() method for "fxregimes" objects. For this, a bread() method for "fxlm" objects was added and the results of the estfun() method were rescaled.

o Second CRAN version of the "fxregime" package, accompanying Report 70, This is an updated version of Report 56, using an extended data period and slightly modified currency baskets but leading to qualitatively similar results.

o The vignettes for CNY and INR have been updated to reproduce Report 70, rather than 56.

Changes in Version 0.1-0

o First CRAN version of the "fxregime" package, accompanying Report 56,

Changes in version 0.0-1

o first Version of the package

Reference manual

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1.0-4 by Achim Zeileis, a year ago

Browse source code at

Authors: Achim Zeileis [aut, cre] , Ajay Shah [ctb] , Ila Patnaik [ctb] , Anmol Sethy [ctb]

Documentation:   PDF Manual  

Task views: Econometrics

GPL-2 | GPL-3 license

Imports graphics, stats, car, sandwich

Depends on zoo, strucchange

Suggests lmtest, foreach

Suggested by glogis, networktree.

See at CRAN