• bvarsv

  • Referenced in 77 articles [sw11023]
  • bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters ... implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy...
  • StFinMetrics

  • Referenced in 32 articles [sw29976]
  • Insightful Corporation for the statistical analysis and modelling of financial time series. But the book ... cointegration; analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series...
  • bdt

  • Referenced in 3 articles [sw26300]
  • large number of parameters in subset vector autoregressive models often leads one to procure fast...
  • OKVAR-Boost

  • Referenced in 3 articles [sw24063]
  • nonlinear autoregressive model based on operator-valued kernels that simultaneously learns the model parameters ... regularized Operator-valued Kernel-based Vector AutoRegressive model (OKVAR) is trained on a random subnetwork...
  • MSBVAR

  • Referenced in 2 articles [sw04504]
  • MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models , Provides methods for estimating frequentist and Bayesian Vector...
  • iVAR

  • Referenced in 2 articles [sw31224]
  • data in multivariate time series using vector autoregressive models. This article introduces iVAR ... series on the basis of vector autoregressive (VAR) models. We conducted a simulation study...
  • AS 311

  • Referenced in 5 articles [sw14167]
  • exact likelihood function of a vector autoregressive moving average model...
  • MARSS

  • Referenced in 2 articles [sw23275]
  • constrained and unconstrained linear multivariate autoregressive state-space (MARSS) models fit to multivariate time-series ... dynamic linear model (DLM) and vector autoregressive model (VAR) model. Functions are provided for parametric...
  • ctsem

  • Referenced in 2 articles [sw15514]
  • time models are conceptually similar to vector autoregressive models (thus also the latent change models...
  • gma

  • Referenced in 2 articles [sw26339]
  • Granger causality frameworks. A vector autoregressive model of order p is employed to account...
  • DEoptim

  • Referenced in 39 articles [sw08656]
  • valued function of a real-valued parameter vector. The implementation of differential evolution in DEoptim ... Parratt model for X-ray reflectometry data and a Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity...
  • sspace

  • Referenced in 1 article [sw24827]
  • estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and dynamic-factor...
  • graphicalVAR

  • Referenced in 1 article [sw31740]
  • experience sampling data, using the Graphical vector autoregression model in combination with regularization. See also...
  • pVAR

  • Referenced in 2 articles [sw25211]
  • Package of Programs. Panel vector autoregression (VAR) models have been increasingly used in applied research...
  • autovarCore

  • Referenced in 0 articles [sw15182]
  • autovarCore: Automated Vector Autoregression Models and Networks. Automatically find the best vector autoregression models...
  • FCVARmodel

  • Referenced in 1 article [sw26083]
  • testing in the fractionally cointegrated VAR model. This manual describes the usage of the accompanying ... testing in the fractionally cointegrated vector autoregressive (VAR) model...
  • SCoT

  • Referenced in 1 article [sw26647]
  • various spectral measures relying on vector autoregressive (VAR) models. Optionally, these VAR models...
  • Ranktest

  • Referenced in 1 article [sw31899]
  • from econometrics concerns cointegration in vector autoregressive (VAR) models; the Johansen trace test...
  • glarma

  • Referenced in 5 articles [sw23274]
  • forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with ... linear non-Gaussian state space models. The state vector consists of a linear regression component ... observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals ... testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation...
  • PROC VARMAX

  • Referenced in 1 article [sw12093]
  • procedure estimates the model parameters and generates forecasts associated with vector autoregressive moving-average processes...