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

43 Pages Posted: 8 May 2019 Last revised: 11 Aug 2020

See all articles by Isabel Casas

Isabel Casas

University of Deusto

Ruben Fernandez-Casal

University of A Coruña

Date Written: April 1, 2019

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

Suggested Citation

Casas, Isabel and Fernandez-Casal, Ruben, tvReg: Time-varying Coefficient Linear Regression for Single and Multi-Equations in R (April 1, 2019). Available at SSRN: https://ssrn.com/abstract=3363526 or http://dx.doi.org/10.2139/ssrn.3363526

Isabel Casas (Contact Author)

University of Deusto ( email )

Av Universidades, 24
Bilbao, 48600
Spain

Ruben Fernandez-Casal

University of A Coruña ( email )

A Coruña
Spain

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