- VAR (via maximum likelihood).
- VAR order selection: computes AIC, BIC, Hannan-Quinn.
- Cointegration tests
- Stock-Watson common trends
- Unit root tests
- Trend-cycle decomposition
- Nonlinear models
- AR two(three) states and VAR Markov-switching
- Yt = C(st) + A(st)(L) Yt-1 + Et with Et ~ N(0,V(st))
- Flexible nonlinear inference (Hamilton, 2001)
Yt = n(X) = a0 + a' X + m(g.*.X)