This article explains the usage of R package tvReg, publicly available for download from the Comprehensive R Archive Network, via its application to economic and finance problems. The six basic functions in this package cover the kernel estimation of semiparametric panel data, seemingly unrelated equations, vector autoregressive, impulse response, and linear regression models whose coefficients may vary with time or any random variable. Moreover, this package provides methods for the graphical display of results, forecast, prediction, extraction of the residuals and fitted values, bandwidth selection and nonparametric estimation of the time-varying variance-covariance matrix of the error term. Applications to risk management, portfolio management, asset management and monetary policy are used as examples of these functions usage.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2022-002.zip
Text and figures are licensed under Creative Commons Attribution CC BY 4.0. The figures that have been reused from other sources don't fall under this license and can be recognized by a note in their caption: "Figure from ...".
For attribution, please cite this work as
Casas & Fernández-Casal, "tvReg: Time-varying Coefficients in Multi-Equation Regression in R", The R Journal, 2022
BibTeX citation
@article{RJ-2022-002,
author = {Casas, Isabel and Fernández-Casal, Rubén},
title = {tvReg: Time-varying Coefficients in Multi-Equation Regression in R},
journal = {The R Journal},
year = {2022},
note = {https://doi.org/10.32614/RJ-2022-002},
doi = {10.32614/RJ-2022-002},
volume = {14},
issue = {1},
issn = {2073-4859},
pages = {79-100}
}