Package: pvarife
Type: Package
Version: 0.1.1
Title: Panel VAR Models with Interactive Fixed Effects
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.
Authors@R: c(
    person("Binzhi", "Chen",
           email = "Binzhi.Chen9@gmail.com",
           role = c("aut", "cre"),
           comment = c(ORCID = "0000-0002-5094-7740")))
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R (>= 4.1.0)
Imports: stats, mvtnorm, ggplot2, rlang
Suggests: testthat (>= 3.0.0), knitr, rmarkdown
Config/testthat/edition: 3
VignetteBuilder: knitr
URL: https://github.com/Rickchen0910/pvarife
BugReports: https://github.com/Rickchen0910/pvarife/issues
RoxygenNote: 7.3.3
NeedsCompilation: no
Packaged: 2026-06-05 17:01:21 UTC; apple
Author: Binzhi Chen [aut, cre] (ORCID: <https://orcid.org/0000-0002-5094-7740>)
Maintainer: Binzhi Chen <Binzhi.Chen9@gmail.com>
Repository: CRAN
Date/Publication: 2026-06-11 12:00:02 UTC
Built: R 4.5.3; ; 2026-06-11 16:14:39 UTC; windows
