MARX: Simulation, Estimation, Model Selection and Forecasting for MARX
Models
Simulate, estimate (by t-MLE), select and forecast mixed causal-noncausal autoregressive models with possibly exogenous regressors, using methods proposed in Lanne and Saikkonen (2011) <doi:10.2202/1941-1928.1080> and Hecq et al. (2016) <doi:10.15609/annaeconstat2009.123-124.0307>.
| Version: |
0.2 |
| Imports: |
matlab, fBasics, tseries, stabledist, metRology |
| Published: |
2018-04-24 |
| Author: |
Sean Telg [aut, cre, cph],
Alain Hecq [ctb],
Lenard Lieb [ctb] |
| Maintainer: |
Sean Telg <j.telg at maastrichtuniversity.nl> |
| License: |
GPL-2 |
| NeedsCompilation: |
no |
| CRAN checks: |
MARX results |
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