| Name : R-svars
| |
| Version : 1.3.11
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : 2.7
| Date : 2024-09-12 10:41:54
|
| Group : Development/Libraries/Other
| Source RPM : R-svars-1.3.11-2.7.src.rpm
|
| Size : 2.10 MB
| |
| Packager : (none)
| |
| Summary : Data-Driven Identification of SVAR Models
|
Description :
Implements data-driven identification methods for structural vector
autoregressive (SVAR) models as described in Lange et al. (2021)
< doi:10.18637/jss.v097.i05>. Based on an existing VAR model object
(provided by e.g. VAR() from the \'vars\' package), the structural impact
matrix is obtained via data-driven identification techniques (i.e.
changes in volatility (Rigobon, R. (2003)
< doi:10.1162/003465303772815727>), patterns of GARCH (Normadin, M.,
Phaneuf, L. (2004) < doi:10.1016/j.jmoneco.2003.11.002>), independent
component analysis (Matteson, D. S, Tsay, R. S., (2013)
< doi:10.1080/01621459.2016.1150851>), least dependent innovations
(Herwartz, H., Ploedt, M., (2016)
< doi:10.1016/j.jimonfin.2015.11.001>), smooth transition in variances
(Luetkepohl, H., Netsunajev, A. (2017)
< doi:10.1016/j.jedc.2017.09.001>) or non-Gaussian maximum likelihood
(Lanne, M., Meitz, M., Saikkonen, P. (2017)
< doi:10.1016/j.jeconom.2016.06.002>)).
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/x86_64 |
