Package: pvarife 0.1.2
Binzhi Chen
pvarife: Panel VAR Models with Interactive Fixed Effects
Implements the estimator of Tugan (2021) <doi:10.1093/ectj/utaa021> for panel vector autoregression (VAR) models with interactive fixed effects. Provides joint estimation of VAR coefficients, latent common factors, and factor loadings via an iterative algorithm that alternates between principal component estimation of the factors and least squares estimation of the VAR coefficients, following the approach of Bai (2009) <doi:10.3982/ECTA6135>. Supports impulse response functions under recursive (Cholesky) identification, parametric confidence bands from the joint asymptotic distribution of the estimator (Theorem 2.3), and a classical residual bootstrap for robustness checks.
Authors:
pvarife_0.1.2.tar.gz
pvarife_0.1.2.zip(r-4.7)pvarife_0.1.2.zip(r-4.6)pvarife_0.1.2.zip(r-4.5)
pvarife_0.1.2.tgz(r-4.6-any)pvarife_0.1.2.tgz(r-4.5-any)
pvarife_0.1.2.tar.gz(r-4.7-any)pvarife_0.1.2.tar.gz(r-4.6-any)
pvarife_0.1.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
pvarife/json (API)
| # Install 'pvarife' in R: |
| install.packages('pvarife', repos = c('https://rickchen0910.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/rickchen0910/pvarife/issues
- pvarife_sim - Simulated panel VAR dataset with interactive fixed effects
Last updated from:2f39492ec2. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 132 | ||
| source / vignettes | OK | 200 | ||
| linux-release-x86_64 | OK | 123 | ||
| macos-release-arm64 | OK | 94 | ||
| macos-oldrel-arm64 | OK | 86 | ||
| windows-devel | OK | 100 | ||
| windows-release | OK | 85 | ||
| windows-oldrel | OK | 82 | ||
| wasm-release | OK | 105 |
Exports:asymptotic_varbootstrap_irf_bandscompute_irfextract_factorsirf_bandslag_lead_matrixpvarifesim_pvarife
Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecyclemvtnormR6RColorBrewerrlangS7scalesvctrsviridisLitewithr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Asymptotic variance and bias of the pvarife estimator | asymptotic_var |
| Recursive residual bootstrap confidence bands for IRFs | bootstrap_irf_bands |
| Extract coefficients from a pvarife_result | coef.pvarife_result |
| Compute impulse response functions under recursive (Cholesky) identification | compute_irf |
| Extract factors and loadings at an arbitrary coefficient vector | extract_factors |
| Parametric confidence bands for impulse response functions | irf_bands |
| Build a matrix of lags and/or leads | lag_lead_matrix |
| Plot impulse response bands | plot.pvarife_bands |
| Plot impulse response functions | plot.pvarife_irf |
| Print method for pvarife_result | print.pvarife_result |
| Estimate a Panel VAR with Interactive Fixed Effects | pvarife |
| Simulated panel VAR dataset with interactive fixed effects | pvarife_sim |
| Simulate panel VAR data with interactive fixed effects | sim_pvarife |
| Summary method for pvarife_result | summary.pvarife_result |