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

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See all articles by Isabel Casas

Isabel Casas

University of Southern Denmark; Basque Center for Applied Mathematics

Ruben Fernandez-Casal

affiliation not provided to SSRN

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, 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 two estimation procedures: the time-varying ordinary least squares implemented in the tvOLS method and the time-varying generalised least squares in the tvGLS 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=

Isabel Casas (Contact Author)

University of Southern Denmark ( email )

Campusvej 55
DK-5230 Odense, 5000
Denmark

Basque Center for Applied Mathematics ( email )

Mazarredo, 14
Bilbao, Bizkaia 48603
Spain

Ruben Fernandez-Casal

affiliation not provided to SSRN

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