Time-Varying Coefficient Linear Regression for Single and Multi-Equations


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Documentation for package ‘tvReg’ version 0.4.1

Help Pages

bw Bandwidth Selection by Cross-Validation
bw.default Bandwidth Selection by Cross-Validation
bw.list Bandwidth Selection by Cross-Validation
bw.tvar Bandwidth Selection by Cross-Validation
bw.tvlm Bandwidth Selection by Cross-Validation
bw.tvsure Bandwidth Selection by Cross-Validation
bw.tvvar 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 Standarised rates from a currency portfolio.
coef.tvar Coefficients and residuals of functions in tvReg
coef.tvirf Coefficients and residuals of functions in tvReg
coef.tvlm Coefficients and residuals of functions in tvReg
coef.tvsure Coefficients and residuals of functions in tvReg
coef.tvvar Coefficients and residuals of functions in tvReg
coefficients.tvar, Coefficients and residuals of functions in tvReg
coefficients.tvirf, Coefficients and residuals of functions in tvReg
coefficients.tvlm, Coefficients and residuals of functions in tvReg
coefficients.tvsure Coefficients and residuals of functions in tvReg
coefficients.tvvar, Coefficients and residuals of functions in tvReg
confint.tvar Confidence Intervals for Objects in tvReg
confint.tvirf Confidence Intervals for Objects in tvReg
confint.tvlm Confidence Intervals for Objects in tvReg
confint.tvsure Confidence Intervals for Objects in tvReg
FF5F Fama and French portfolio daily returns and factors for international markets.
forecast Forecast Methods for Objects in tvReg.
forecast.tvar Forecast Methods for Objects in tvReg.
forecast.tvlm Forecast Methods for Objects in tvReg.
forecast.tvsure Forecast Methods for Objects in tvReg.
forecast.tvvar Forecast Methods for Objects in tvReg.
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
predict.tvar Predict Methods for Objects in tvReg.
predict.tvlm Predict Methods for Objects in tvReg.
predict.tvsure Predict Methods for Objects in tvReg.
predict.tvvar Predict Methods for Objects in tvReg.
print.tvar Print results of functions in tvReg
print.tvirf Print results of functions in tvReg
print.tvlm Print results of functions in tvReg
print.tvsure Print results of functions in tvReg
print.tvvar Print results of functions in tvReg
RV Daily realized variance
summary Print results of functions in tvReg
summary.tvar Print results of functions in tvReg
summary.tvirf Print results of functions in tvReg
summary.tvlm Print results of functions in tvReg
summary.tvsure Print results of functions in tvReg
summary.tvvar Print results of functions in tvReg
tvAcoef 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
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
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
tvOLS.matrix Time-Varying Ordinary Least Squares
tvOLS.tvar Time-Varying Ordinary Least Squares
tvOLS.tvlm Time-Varying Ordinary Least Squares
tvOLS.tvvar Time-Varying Ordinary Least Squares
tvPhi Time-Varying Coefficient Arrays of the MA Represention
tvPsi Time-Varying Coefficient Arrays of the Orthogonalised MA Represention
tvReg-methods Coefficients and residuals of functions in tvReg
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