GVARX

Perform Global Vector Autoregression Estimation and Inference

CRAN Package

Light procedures for learning Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) doi:10.1198/073500104000000019 and Dees, di Mauro, Pesaran and Smith (2007) doi:10.1002/jae.932.

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  • Depends2 packages
  • Imports6 packages