Signals, Volume 1, Issue 1 (September 2020) – 5 articles
Cover Story (view full-size image): The R package allows to estimate Dynamic Model Averaging (DMA), Dynamic Model Selection (DMS) and Median Probability Model. The original methods, and additionally, some selected modifications of these methods are implemented. The code is written with respect to minimise the computational burden, which is quite an obstacle for DMA algorithm if numerous variables are used. However, clarity and readability of the code, and possibility for an R-familiar user to make his or her own small modifications in reasonably small time and with low effort are also taken under consideration. This package is designed in a way that is hoped to be especially useful for practitioners and researchers in economics and finance. View this paper.
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