Perform Dynamic Model Averaging with grid search as in Dangl and Halling (2012) using parallel computing.
eDMA (Catania and Nonejad, 2016) implements the Dynamic Model Averaging (DMA) estimation technique of Raftery, Karny, and Ettler (2010) with the modifications of Dangl and Halling (2012) in R.
The latest stable version of
eDMA is available at ‘https://CRAN.R-project.org/package=eDMA’.
The latest development version of `GASeDMA is available at ‘https://github.com/LeopoldoCatania/eDMA’.
eDMA in publications:
Catania, L. and Nonejad, N. (2017). eDMA: Dynamic Model Averaging with Grid Search. R package. https://CRAN.R-project.org/package=eDMA
Catania, L., and Nonejad, N. (2016). Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package. arXiv preprint arXiv:1606.05656