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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’.
Please cite 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
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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