tvReg: Time-varying Coefficient Linear Regression for Single and Multi-Equations in R

Abstract

The source code of the package tvReg is publicly available for download from the Comprehensive R Archive Network. The five basic functions in this package are the tvLM, tvAR, tvSURE, tvPLM, tvVAR and tvIRF, which cover a large range of semiparametric models with time-varying coefficients. Moreover, this package provides methods for the graphical display of results, extraction of the residuals and fitted values, bandwidth selection, nonparametric estimation of the time-varying variance-covariance matrix of the error term, and four estimation procedures: the time-varying ordinary least squares implemented in the tvOLS, the time-varying generalised least squares in the tvGLS, the time-varying random effects in the tvRE and the time-varying fixed effects in the tvFE method. Applications to risk management, portfolio management, asset management and monetary policy are used as examples of these functions usage.

Keywords: Time-Varying Coefficients, Nonparametric, SURE, VAR, IRF, Autoregressive, R

JEL Classification: C01; C15; C15; C22; C30; C87