CRAN

GVARX 1.1

Perform Stationary Global Vector Autoregression Estimation and Inference

Released Feb 8, 2019 by Ho Tsung-wu

Dependencies

sandwich 2.5-0 urca 1.3-0 lmtest 0.9-36 lubridate 1.7.4 xts 0.11-2 strucchange 1.5-1 vars 1.5-3

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) .

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>GVARX</artifactId>
    <version>1.1-b1</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:GVARX')

Test Results

This package was last tested against Renjin 0.9.2719 on Feb 11, 2019.

• GVAR_Ft-examples
• GVAR_Xt-examples
• GVARest-examples
• PriceVol-examples
• averageCORgvar-examples
• getCOEF-examples
• getCOEFexo-examples
• getNWCOEF-examples
• getNWCOEFexo-examples
• getWhiteCOEF-examples
• getWhiteCOEFexo-examples
• grangerGVAR-examples
• tradeweight1-examples
• tradeweightx-examples

Source

View GitHub Mirror

Release History

• 1.1