
bvarsv
 Referenced in 77 articles
[sw11023]
 bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and TimeVarying 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...

OKVARBoost
 Referenced in 3 articles
[sw24063]
 nonlinear autoregressive model based on operatorvalued kernels that simultaneously learns the model parameters ... regularized Operatorvalued Kernelbased Vector AutoRegressive model (OKVAR) is trained on a random subnetwork...

MSBVAR
 Referenced in 2 articles
[sw04504]
 MSBVAR: MarkovSwitching, 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 statespace (MARSS) models fit to multivariate timeseries ... 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 realvalued parameter vector. The implementation of differential evolution in DEoptim ... Parratt model for Xray reflectometry data and a MarkovSwitching Generalized AutoRegressive Conditional Heteroskedasticity...

sspace
 Referenced in 1 article
[sw24827]
 estimate the parameters of unobservedcomponent models, vector autoregressive movingaverage models, and dynamicfactor...

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 nonGaussian state space models. The state vector consists of a linear regression component ... observation driven component consisting of an autoregressivemoving 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 movingaverage processes...