MARX: Simulation, Estimation and Selection of MARX Models

Simulate, estimate (by t-MLE) and select 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: 0.1
Imports: matlab, fBasics, tseries, stabledist
Published: 2017-06-16
Author: Sean Telg [aut, cre, cph], Alain Hecq [ctb], Lenard Lieb [ctb]
Maintainer: Sean Telg <j.telg at>
License: GPL-2
NeedsCompilation: no
CRAN checks: MARX results


Reference manual: MARX.pdf
Package source: MARX_0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: MARX_0.1.tgz
OS X Mavericks binaries: r-oldrel: MARX_0.1.tgz


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