Time-Varying Coefficients Linear Regression for Single and Multiple Equations


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Documentation for package ‘tvReg’ version 0.2.1

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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