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
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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'))

Peer review:

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:

autoregressivenonparametricregressionsurevectorautoregressive

6.25 score 19 stars 62 scripts 522 downloads 19 exports 77 dependencies

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

TargetResultDate
Doc / VignettesOKNov 17 2024
R-4.5-winNOTENov 17 2024
R-4.5-linuxNOTENov 17 2024
R-4.4-winNOTENov 17 2024
R-4.4-macNOTENov 17 2024
R-4.3-winNOTENov 17 2024
R-4.3-macNOTENov 17 2024

Exports:bwbwCovforecasttvAcoeftvARtvBcoeftvCovtvFEtvGLStvIRFtvLMtvOLStvPhitvPLMtvPsitvREtvreg.controltvSUREtvVAR

Dependencies:abindbackportsbdsmatrixbootbroombvarsvcarcarDataclicollapsecolorspacecowplotcpp11DerivdigestdoBydplyrfansifarverFormulagenericsggplot2gluegtableisobandlabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmaxLikmgcvmicrobenchmarkminqamiscToolsmodelrmunsellnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigplmpurrrquantregR6rbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackrlangsandwichscalesSparseMstringistringrstrucchangesurvivalsystemfittibbletidyrtidyselecturcautf8varsvctrsviridisLitewithrzoo

Introduction to the tvReg package

Isabel Casas, Ruben Fernandez-Casal

Rendered fromtvReg.Rmdusingknitr::rmarkdownon Nov 17 2024.

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

Readme and manuals

Help Manual

Help pageTopics
tvReg: Time-Varying Coefficient for Single and Multi-Equation RegressionstvReg-package tvReg
Bandwidth Selection by Cross-Validationbw 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 tvRegconfint.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 tvRegplot.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 tvRegprint.tvar print.tvirf print.tvlm print.tvplm print.tvsure print.tvvar
Daily realized varianceRV
Print results of functions in tvRegsummary 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 ModeltvAR tvar tvar-class
Coefficient Array of an Estimated tvVARtvBcoef
Time-varying Variance-Covariance EstimationtvCov
Time-Varying Fixed Effects EstimationtvFE tvFE.matrix tvFE.tvplm
Time-Varying Generalised Least SquarestvGLS tvGLS.list tvGLS.matrix tvGLS.tvsure
Time-Varying Impulse Response FunctiontvIRF tvirf-class tvirf.
Time-Varying Coefficients Linear ModelstvLM tvlm tvlm-class
Time-Varying Ordinary Least SquarestvOLS tvOLS.matrix tvOLS.tvar tvOLS.tvlm tvOLS.tvvar
Time-Varying Coefficient Arrays of the MA RepresentiontvPhi
Time-Varying Coefficients Panel Data ModelstvPLM tvplm tvplm-class
Time-Varying Coefficient Arrays of the Orthogonalised MA RepresentiontvPsi
Time-Varying Random Effects EstimationtvRE tvRE.matrix tvRE.tvplm
Time-Varying Seemingly Unrelated Regression Equations ModeltvSURE tvsure tvsure-class
Time-varying Vector Autoregressive ModelstvVAR tvvar tvvar-class
Update and Re-fit the Models of package tvRegupdate.tvar update.tvlm update.tvplm update.tvsure update.tvvar