bw |
Bandwidth Selection by Cross-Validation |
bw.default |
Bandwidth Selection by Cross-Validation |
bw.list |
Bandwidth Selection by Cross-Validation |
bwCov |
Covariance Bandwidth Calculation by Cross-Validation _bwCov_ calculates a single bandwidth to estimate the time-varying variance- covariance matrix. |
CEES |
Aslanidis and Casas (2013) consider a portfolio of daily US dollar exchange rates of the Australian dollar (AUS), Swiss franc (CHF), euro (EUR), British pound (GBP), South African rand (RAND), Brazilian real (REALB), and Japanese yen (YEN) over the period from January 1, 1999 until May 7, 2010 (T=2856 observations). This dataset contains the standarised rates after "devolatilisation", i.e. standarising the rates using a GARCH(1,1) estimate of the volatility. |
CI |
Confidence Intervals for Model Parameters of Objects in tvReg |
CI.default |
Confidence Intervals for Model Parameters of Objects in tvReg |
CI.tvirf |
Confidence Intervals for Model Parameters of Objects in tvReg |
FF5F |
Fama and French portfolio excess returns and factors for international markets. |
plot.tvar |
Plot Methods for objects in tvReg |
plot.tvirf |
Plot Methods for objects in tvReg |
plot.tvlm |
Plot Methods for objects in tvReg |
plot.tvsure |
Plot Methods for objects in tvReg |
plot.tvvar |
Plot Methods for objects in tvReg |
tvAcoef |
Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a tv-VAR (no intercept). |
tvAcoef.tvvar |
Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a tv-VAR (no intercept). |
tvAR |
Time-Varying Autoregressive Model |
tvar |
Time-Varying Autoregressive Model |
tvar-class |
Time-Varying Autoregressive Model |
tvBcoef |
Coefficient Array of an Estimated tvVAR |
tvBcoef.tvvar |
Coefficient Array of an Estimated tvVAR |
tvCov |
Time-varying Variance-Covariance Estimation |
tvGLS |
Time-varying Generalised Least Squares |
tvGLS.list |
Time-varying Generalised Least Squares |
tvGLS.matrix |
Time-varying Generalised Least Squares |
tvGLS.tvsure |
Time-varying Generalised Least Squares |
tvIRF |
Time-Varying Impulse Response Function |
tvirf-class |
Time-Varying Impulse Response Function |
tvirf. |
Time-Varying Impulse Response Function |
tvIRF.tvvar |
Time-Varying Impulse Response Function |
tvLM |
Time-Varying Coefficients Linear Models |
tvlm |
Time-Varying Coefficients Linear Models |
tvlm-class |
Time-Varying Coefficients Linear Models |
tvOLS |
Time-Varying Ordinary Least Squares |
tvPhi |
Time-Varying Coefficient Arrays of the MA Represention |
tvPhi.tvvar |
Time-Varying Coefficient Arrays of the MA Represention |
tvPsi |
Time-Varying Coefficient Arrays of the Orthogonalised MA Represention |
tvPsi.tvvar |
Time-Varying Coefficient Arrays of the Orthogonalised MA Represention |
tvSURE |
Time-Varying Seemingly Unrelated Regression Equations Model |
tvsure |
Time-Varying Seemingly Unrelated Regression Equations Model |
tvsure-class |
Time-Varying Seemingly Unrelated Regression Equations Model |
tvVAR |
Time-varying Vector Autoregressive Models |
tvvar |
Time-varying Vector Autoregressive Models |
tvvar-class |
Time-varying Vector Autoregressive Models |
update.tvar |
Update and Re-fit the Models of package tvReg |
update.tvlm |
Update and Re-fit the Models of package tvReg |
update.tvsure |
Update and Re-fit the Models of package tvReg |
update.tvvar |
Update and Re-fit the Models of package tvReg |