Perform Stationary Global Vector Autoregression Estimation and Inference

Documentation for package ‘GVARX’ version 1.1

averageCORgvar	Comparing average residual correlations.
getCOEF	Return country-specific standard LS coefficient estimates.
getCOEFexo	All-country LS coefficient estimates.
getNWCOEF	Extract country-specific LS coefficient estimates with Newy-West robust covariance.
getNWCOEFexo	Extract all-country coefficient estimates with Newy-West robust covariance.
getWhiteCOEF	Extract country-specific LS coefficient estimates with White robust covariance.
getWhiteCOEFexo	Extract all-country coefficient estimates with White robust covariance.
grangerGVAR	Granger Causality for bivariate vector autoregression model augmented by foreign variables
GVARest	Estimate country-specific VAR in a GVAR setting
GVAR_Ft	Function to generate foreign variables
GVAR_Xt	Compute the G0, G1, G2, and F1, F2 matrices for filtering Xt
PriceVol	Dataset price-volumn of 17 mareket indices
tradeweight1	A single year cross-section bilateral trade weight matrix, 2014.
tradeweightx	A nine-year bilateral trade weight matrix, 2006-2014