# ivx: Robust Econometric Inference

Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) and Kostakis, Magdalinos and Stamatogiannis (2015).

## Installation

You can install the development version from GitHub with:

``````# install.packages("devtools")
devtools::install_github("kvasilopoulos/ivx")``````

## Usage

``library(ivx)``

This is a basic example, lets load the data first:

``````# Monthly data from Kostakis et al (2014)
monthly %>%
names()
#>   "Date" "DE"   "LTY"  "DY"   "DP"   "TBL"  "EP"   "BM"   "INF"  "DFY"
#>  "NTIS" "TMS"  "Ret"``````

## Univariate

And then do the univariate estimation:

``````ivx(Ret ~ DP, data = monthly) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 1)
#>
#> Coefficients:
#>    Estimate Wald Ind Pr(> chi)
#> DP 0.006489    2.031     0.154
#>
#> Joint Wald statistic:  2.031 on 1 DF, p-value 0.1541

ivx(Ret ~ DP, data = monthly, horizon = 4) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 4)
#>
#> Coefficients:
#>    Estimate Wald Ind Pr(> chi)
#> DP 0.006931    2.271     0.132
#>
#> Joint Wald statistic:  2.271 on 1 DF, p-value 0.1318``````

## Multivariate

And the multivariate estimation, for one or multiple horizons:

``````ivx(Ret ~ DP + TBL, data = monthly) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 1)
#>
#> Coefficients:
#>      Estimate Wald Ind Pr(> chi)
#> DP   0.006145    1.819     0.177
#> TBL -0.080717    1.957     0.162
#>
#> Joint Wald statistic:  3.644 on 2 DF, p-value 0.1617

ivx(Ret ~ DP + TBL, data = monthly, horizon = 4) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 4)
#>
#> Coefficients:
#>      Estimate Wald Ind Pr(> chi)
#> DP   0.006579    2.045     0.153
#> TBL -0.073549    1.595     0.207
#>
#> Joint Wald statistic:  3.527 on 2 DF, p-value 0.1715``````

Please note that the ‘ivx’ project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.