R: Perform Global Vector Autoregression Estimation and Inference

# Perform Global Vector Autoregression Estimation and Inference

## Documentation for package ‘GVARX’ version 1.4

- DESCRIPTION file

## Help Pages

averageCORgvar | Comparing average residual correlations.
averageCORgvecm | Comparing average residual correlations of GVECM and VECM.
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.
GVARest | Estimate country-specific VAR in a GVAR setting
GVAR_Ft | Function to generate foreign variables
GVAR_GF | Compute the structural coefficients matrices G0, G1, G2, and F1, F2
GVECM.jo | Estimate country-specific Johansen test results in a Global VECM setting
GVECMest | Estimate country-specific Engle-Granger VECM in a Global VECM setting
GVECM_GF | Compute the structural coefficients matrices G0, G1, G2, and F1, F2
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