Other packages > Find by keyword >

pvarife  

Panel VAR Models with Interactive Fixed Effects
View on CRAN: Click here


Download and install pvarife package within the R console
Install from CRAN:
install.packages("pvarife")

Install from Github:
library("remotes")
install_github("cran/pvarife")

Install by package version:
library("remotes")
install_version("pvarife", "0.1.2")



Attach the package and use:
library("pvarife")
Maintained by
Binzhi Chen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-11
Latest Update: 2026-06-11
Description:
Implements the estimator of Tugan (2021) <doi:10.1093/ectj/utaa021> for panel vector autoregression (VAR) models with interactive fixed effects. Provides joint estimation of VAR coefficients, latent common factors, and factor loadings via an iterative algorithm that alternates between principal component estimation of the factors and least squares estimation of the VAR coefficients, following the approach of Bai (2009). Supports impulse response functions under recursive (Cholesky) identification, parametric confidence bands from the joint asymptotic distribution of the estimator (Theorem 2.3), and a classical residual bootstrap for robustness checks.
How to cite:
Binzhi Chen (2026). pvarife: Panel VAR Models with Interactive Fixed Effects. R package version 0.1.2, https://cran.r-project.org/web/packages/pvarife. Accessed 05 Oct. 2026.
Previous versions and publish date:
(2026-07-09 06:44), 0.1.1 (2026-06-11 14:00)
Other packages that cited pvarife R package
View pvarife citation profile
Other R packages that pvarife depends, imports, suggests or enhances
Complete documentation for pvarife
Functions, R codes and Examples using the pvarife R package
Full pvarife package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
genie  
Fast, Robust, and Outlier Resistant Hierarchical Clustering
Includes the reference implementation of Genie - a hierarchical clustering algorithm that links two ...
Download / Learn more Package Citations See dependency  
correlation  
Methods for Correlation Analysis
Lightweight package for computing different kinds of correlations, such as partial correlations, Ba ...
Download / Learn more Package Citations See dependency  
cdlTools  
Tools to Download and Work with USDA Cropscape Data
Downloads USDA National Agricultural Statistics Service (NASS) cropscape data for a specified state ...
Download / Learn more Package Citations See dependency  

28,905

R Packages

247,686

Dependencies

76,495

Author Associations

28,906

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA