<< Multivariate regressions
Grocer
ARMA and VARMA tools >>
Grocer
>> VAR estimations
VAR estimations
Hetero_TVP_VAR
—
Time varying structural VAR
Hetero_TVP_VAR1
—
Time varying structural VAR
Hetero_TVP_VAR_irf
—
IRF for a Time varying structural VAR
Hetero_TVP_VAR_stdresid
—
standard deviations of residuals for a Time varying structural VAR
VAR
—
estimates a VAR model
becm
—
performs bayesian error correction model estimation
bvar
—
performs bayesian VAR estimation
bvar1
—
low level estimation of a bayesian VAR model
ecm
—
performs error correction model estimation
irf
—
Calculates Impulse Response Function for VAR
irf0
—
Low-level Impulse Response function
irf_asy
—
asymptotic Impulse Response function for VAR
irf_mc1
—
Monte-Carlo Impulse Response function for VAR
rolirf
—
Calculates Impulse Response Function for rolling VAR
rolvar
—
computes rolling VAR
rolvar_granger
—
Granger (non-)causality tests for a rolling VAR
scstd
—
determines bvar function scaling factor
theilbv
—
Performs Theil-Goldberger for theilbv model
tvp_var_diagnos
—
computes MCMC convergence diagnostics for TVP VAR
tvp_var_diagnos_all
—
computes MCMC convergence diagnostics for all TVP VAR parmaeters
tvp_var_diagnos_hyperp
—
computes MCMC convergence diagnostics for TVP VAR hyperparameters
tvpvar_prior0
—
returns prior tlist needed by Hetero_TVP_VAR function
var1
—
estimates a VAR model (low level)
vare
—
residuals from a VAR estimation
varf
—
VAR forecasting
vargranger
—
Granger (non-)causality tests from a VAR
varwithfac
—
estimation of a VAR models with exogenous factors
Report an issue
<< Multivariate regressions
Grocer
ARMA and VARMA tools >>