Multivariate time series
42 methods in this family.
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Butterworth Filter DesignThe Butterworth filter is a type of signal processing filter designed to have the flattest possible frequency response in the passband while rolling off toward the stopband with a Chebyshev Filter DesignThe Chebyshev filter is a signal processing filter that achieves a sharper cutoff frequency response than Butterworth filters by allowing controlled ripple in the passband (Type I)FAVARFAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the FIR Filter DesignFinite Impulse Response (FIR) filters are digital filters with an impulse response that settles to zero in finite time, making them fundamentally stable and easy to analyze. UnlikeFourier SVAR ModelThe Fourier SVAR model integrates Fourier series approximations into the structural VAR framework, allowing the model to capture smooth, gradual structural breaks and time-varying Fourier VAR modelThe Fourier VAR model extends the standard Vector Autoregression by replacing fixed deterministic terms with Fourier trigonometric components, allowing the intercept (and optionall
All methods 42
Butterworth Filter DesignChebyshev Filter DesignFAVARFIR Filter DesignFourier SVAR ModelFourier VAR modelFourier VECMGlobal VARIIR Filter DesignImpulse Response FunctionJohansen Cointegration TestLocal ProjectionsNonlinear Johansen CointegrationNonlinear SVAR ModelNonlinear VAR ModelNonlinear VECMPanel SVAR modelPanel VARPanel VARXPanel VECMQuantile VARRobust SVAR modelRobust VAR modelRobust VECMRoom Impulse ResponseStructural break Johansen cointegrationStructural break SVAR modelStructural Break VAR ModelStructural break VECMStructural VARSVARThreshold and Smooth-Transition VARThreshold Panel VARTime-varying parameter Johansen cointegrationTime-varying parameter SVAR modelTime-varying parameter VAR modelTime-varying parameter VECMTVP-VARVAR ModelVECMVector AutoregressionVector Error Correction Model