Robust Econometric Inference

Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) and Kostakis, Magdalinos and Stamatogiannis (2015) .


CRANstatus lifecycle Travis buildstatus AppVeyor buildstatus codecov

Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) and Kostakis, Magdalinos and Stamatogiannis (2015).

Installation

You can install the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("kvasilopoulos/ivx")

Usage

library(ivx)

This is a basic example, lets load the data first:

# Monthly data from Kostakis et al (2014)
monthly %>%
  names()
#>  [1] "Date" "DE"   "LTY"  "DY"   "DP"   "TBL"  "EP"   "BM"   "INF"  "DFY" 
#> [11] "NTIS" "TMS"  "Ret"

Univariate

And then do the univariate estimation:

ivx(Ret ~ DP, data = monthly) %>% 
  summary()
#> 
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 1)
#> 
#> Coefficients:
#>    Estimate Wald Ind Pr(> chi)
#> DP 0.006489    2.031     0.154
#> 
#> Joint Wald statistic:  2.031 on 1 DF, p-value 0.1541
 
ivx(Ret ~ DP, data = monthly, horizon = 4) %>% 
  summary()
#> 
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 4)
#> 
#> Coefficients:
#>    Estimate Wald Ind Pr(> chi)
#> DP 0.006931    2.271     0.132
#> 
#> Joint Wald statistic:  2.271 on 1 DF, p-value 0.1318

Multivariate

And the multivariate estimation, for one or multiple horizons:

ivx(Ret ~ DP + TBL, data = monthly) %>% 
  summary()
#> 
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 1)
#> 
#> Coefficients:
#>      Estimate Wald Ind Pr(> chi)
#> DP   0.006145    1.819     0.177
#> TBL -0.080717    1.957     0.162
#> 
#> Joint Wald statistic:  3.644 on 2 DF, p-value 0.1617
 
ivx(Ret ~ DP + TBL, data = monthly, horizon = 4) %>% 
  summary()
#> 
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 4)
#> 
#> Coefficients:
#>      Estimate Wald Ind Pr(> chi)
#> DP   0.006579    2.045     0.153
#> TBL -0.073549    1.595     0.207
#> 
#> Joint Wald statistic:  3.527 on 2 DF, p-value 0.1715

Please note that the ‘ivx’ project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.

News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("ivx")

1.0.0 by Kostas Vasilopoulos, 16 days ago


https://github.com/kvasilopoulos/ivx


Report a bug at https://github.com/kvasilopoulos/ivx/issues


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


Authors: Kostas Vasilopoulos [cre, aut] , Efthymios Pavlidis [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports magrittr, Rcpp, tibble

Suggests covr, spelling, testthat

Linking to Rcpp, RcppArmadillo


See at CRAN