Package: tvReg 0.5.6

tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions

Fitting time-varying coefficient models for single and multi-equation regressions, using kernel smoothing techniques.

Authors:Isabel Casas [aut, cre], Ruben Fernandez-Casal [aut]

tvReg_0.5.6.tar.gz
tvReg_0.5.6.zip(r-4.5)tvReg_0.5.6.zip(r-4.4)tvReg_0.5.6.zip(r-4.3)
tvReg_0.5.6.tgz(r-4.4-any)tvReg_0.5.6.tgz(r-4.3-any)
tvReg_0.5.6.tar.gz(r-4.5-noble)tvReg_0.5.6.tar.gz(r-4.4-noble)
tvReg_0.5.6.tgz(r-4.4-emscripten)tvReg_0.5.6.tgz(r-4.3-emscripten)
tvReg.pdf |tvReg.html✨
tvReg/json (API)
NEWS

# Install 'tvReg' in R:

install.packages('tvReg', repos = c('https://icasas.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/icasas/tvreg/issues

Datasets:

CEES - Standarised rates from a currency portfolio.
FF5F - Fama and French portfolio daily returns and factors for international markets.
OECD - Variables related to the problem of healthcare spending.
RV - Daily realized variance

On CRAN:

autoregressive nonparametric regression sure vectorautoregressive

19 exports 19 stars 2.12 score 77 dependencies 60 scripts 497 downloads

Last updated 1 years agofrom:ee00b11853. Checks:OK: 1 NOTE: 6. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 18 2024
R-4.5-win	NOTE	Sep 18 2024
R-4.5-linux	NOTE	Sep 18 2024
R-4.4-win	NOTE	Sep 18 2024
R-4.4-mac	NOTE	Sep 18 2024
R-4.3-win	NOTE	Sep 18 2024
R-4.3-mac	NOTE	Sep 18 2024

Exports:bw bwCov forecast tvAcoef tvAR tvBcoef tvCov tvFE tvGLS tvIRF tvLM tvOLS tvPhi tvPLM tvPsi tvRE tvreg.control tvSURE tvVAR

Dependencies:abind backports bdsmatrix boot broom bvarsv car carData cli collapse colorspace cowplot cpp11 Deriv digest doBy dplyr fansi farver Formula generics ggplot2 glue gtable isoband labeling lattice lifecycle lme4 lmtest magrittr MASS Matrix MatrixModels maxLik mgcv microbenchmark minqa miscTools modelr munsell nlme nloptr nnet numDeriv pbkrtest pillar pkgconfig plm purrr quantreg R6 rbibutils RColorBrewer Rcpp RcppArmadillo RcppEigen Rdpack rlang sandwich scales SparseM stringi stringr strucchange survival systemfit tibble tidyr tidyselect urca utf8 vars vctrs viridisLite withr zoo

Introduction to the tvReg package

Isabel Casas, Ruben Fernandez-Casal

Rendered fromtvReg.Rmdusingknitr::rmarkdownon Sep 18 2024.

Last update: 2021-11-12
Started: 2019-04-03

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions	tvReg-package tvReg
Bandwidth Selection by Cross-Validation	bw bw.default bw.list bw.pdata.frame bw.tvar bw.tvlm bw.tvplm bw.tvsure bw.tvvar
Covariance Bandwidth Calculation by Cross-Validation _bwCov_ calculates a single bandwidth to estimate the time-varying variance- covariance matrix.	bwCov
Standarised rates from a currency portfolio.	CEES
Confidence Intervals for Objects in tvReg	confint.tvar confint.tvirf confint.tvlm confint.tvplm confint.tvsure confint.tvvar
Fama and French portfolio daily returns and factors for international markets.	FF5F
Forecast Methods for Objects in tvReg.	forecast forecast.tvar forecast.tvlm forecast.tvplm forecast.tvsure forecast.tvvar
Variables related to the problem of healthcare spending.	OECD
Plot Methods for Objects in tvReg	plot.tvar plot.tvirf plot.tvlm plot.tvplm plot.tvsure plot.tvvar
Predict Methods for Objects in tvReg.	predict.tvar predict.tvlm predict.tvplm predict.tvsure predict.tvvar
Print results of functions in tvReg	print.tvar print.tvirf print.tvlm print.tvplm print.tvsure print.tvvar
Daily realized variance	RV
Print results of functions in tvReg	summary summary.tvar summary.tvirf summary.tvlm summary.tvplm summary.tvsure summary.tvvar
Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a TVVAR (no intercept).	tvAcoef
Time-Varying Autoregressive Model	tvAR tvar tvar-class
Coefficient Array of an Estimated tvVAR	tvBcoef
Time-varying Variance-Covariance Estimation	tvCov
Time-Varying Fixed Effects Estimation	tvFE tvFE.matrix tvFE.tvplm
Time-Varying Generalised Least Squares	tvGLS tvGLS.list tvGLS.matrix tvGLS.tvsure
Time-Varying Impulse Response Function	tvIRF tvirf-class tvirf.
Time-Varying Coefficients Linear Models	tvLM tvlm tvlm-class
Time-Varying Ordinary Least Squares	tvOLS tvOLS.matrix tvOLS.tvar tvOLS.tvlm tvOLS.tvvar
Time-Varying Coefficient Arrays of the MA Represention	tvPhi
Time-Varying Coefficients Panel Data Models	tvPLM tvplm tvplm-class
Time-Varying Coefficient Arrays of the Orthogonalised MA Represention	tvPsi
Time-Varying Random Effects Estimation	tvRE tvRE.matrix tvRE.tvplm
Time-Varying Seemingly Unrelated Regression Equations Model	tvSURE tvsure tvsure-class
Time-varying Vector Autoregressive Models	tvVAR tvvar tvvar-class
Update and Re-fit the Models of package tvReg	update.tvar update.tvlm update.tvplm update.tvsure update.tvvar