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Results tagged with vector-autoregression
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user 48232
Vector Auto-Regression, a multivariate time-series model / method. Under VAR, each univariate time-series is a linear combination of its own previous values and the previous values of the other series.
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Panel vector autoregression models in R?
Christoph Adolph makes it possible:
For panels with long T:
# Load libraries
library(nlme) # Estimation of mixed effects models
library(lme4) # Alternative package for mix …
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