Package: ivx 2.0.0

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) <doi:10.1017/S0266466608090154> and Kostakis, Magdalinos and Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>. Also provides the extensions of IVX proposed in the later literature (IVX-AR, residual-augmented and lag-augmented IVX, IVX quantile regression, systems of predictive regressions, heteroskedasticity-robust standard errors, wild-bootstrap and subsample inference, combined instruments) and the standard non-IVX tests for predictability with persistent regressors as benchmarks.

Authors:Kostas Vasilopoulos [cre, aut], Efthymios Pavlidis [aut]

ivx_2.0.0.tar.gz
ivx_2.0.0.zip(r-4.7-x86_64)ivx_2.0.0.zip(r-4.7-arm64)ivx_2.0.0.zip(r-4.6-x86_64)ivx_2.0.0.zip(r-4.6-arm64)ivx_2.0.0.zip(r-4.5-x86_64)
ivx_2.0.0.tgz(r-4.6-x86_64)ivx_2.0.0.tgz(r-4.6-arm64)ivx_2.0.0.tgz(r-4.5-x86_64)ivx_2.0.0.tgz(r-4.5-arm64)
ivx_2.0.0.tar.gz(r-4.7-arm64)ivx_2.0.0.tar.gz(r-4.7-x86_64)ivx_2.0.0.tar.gz(r-4.6-arm64)ivx_2.0.0.tar.gz(r-4.6-x86_64)
ivx_2.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
ivx/json (API)

# Install 'ivx' in R:
install.packages('ivx', repos = c('https://kvasilopoulos.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/kvasilopoulos/ivx/issues

Pkgdown/docs site:https://kvasilopoulos.github.io

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

inferenceivxlocal-to-unitypredictive-regressionsopenblascpp

6.70 score 17 stars 27 scripts 295 downloads 33 exports 2 dependencies

Last updated from:533492e3de. Checks:15 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK178
linux-devel-x86_64OK208
source / vignettesOK272
linux-release-arm64OK187
linux-release-x86_64OK239
macos-release-arm64OK150
macos-release-x86_64OK247
macos-oldrel-arm64OK146
macos-oldrel-x86_64OK191
windows-devel-arm64OK253
windows-devel-x86_64OK185
windows-release-arm64OK278
windows-release-x86_64OK163
windows-oldrel-x86_64OK152
wasm-releaseOK139

Exports:ac_testac_test_bgac_test_bpac_test_lbac_test_waldarmarm_fitcy_testcy_test_fitdeltael_testel_test_fitelliott_cfelliott_cf_fitextract.ivxextract.ivx_arhlt_testhlt_test_fitivxivx_arivx_ar_fitivx_bootivx_episodicivx_fitivx_ivivx_iv_fitivx_qrivx_qr_bootivx_qr_fitivx_raivx_ra_fitivx_sysivx_sys_fit

Dependencies:RcppRcppArmadillo

Choosing a test: a decision workflow
The map | Step 1: baseline fit and three diagnostics | Step 2: serially correlated errors → ivx_ar() | Step 3: heteroskedasticity → robust = TRUE | Step 4: finite-sample size → ivx_boot() and ivx_ra() | Step 5: power → lag_y = TRUE | Step 6: what is the null? | Step 7: cross-check with a non-IVX test | The worked example, in one table | Summary | References
Rendered fromworkflow.Rmdusingknitr::rmarkdown

Last update: 2026-09-13
Started: 2026-09-13

IVX predictive regressions
The problem | The IVX instrument | Tuning | Long horizons | Lag augmentation for power | Heteroskedasticity-robust standard errors | Replication of Kostakis et al. (2015) | Caveats | References
Rendered fromivx.Rmdusingknitr::rmarkdown

Last update: 2026-09-13
Started: 2026-09-12

IVX quantile predictive regression
Setting | The test | Tuning | Block bootstrap under conditional heteroskedasticity | Caveats | References
Rendered fromivx-qr.Rmdusingknitr::rmarkdown

Last update: 2026-09-13
Started: 2026-09-12

Non-IVX benchmarks: Bonferroni Q, ARM, hybrid t, empirical likelihood
Bonferroni Q-test | Augmented regression method | Idea | Check | Caveats | Control-function regression | Hybrid t-test | Unified empirical likelihood test | References
Rendered frombenchmarks.Rmdusingknitr::rmarkdown

Last update: 2026-09-13
Started: 2026-09-12

Residual-augmented IVX
Idea | Procedure | Replication: size in the paper's Monte Carlo | Long horizons: the transformed regression | Caveats and implementation notes | References
Rendered fromivx-ra.Rmdusingknitr::rmarkdown

Last update: 2026-09-13
Started: 2026-09-12

IV tests with combined instruments
Instruments | The statistic | Replication of Table 1 | Caveats | References
Rendered fromivx-iv.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

Episodic predictability: subsample IVX tests
Subsample statistic | Interpretation and caveats | References
Rendered fromivx-episodic.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

IVX-AR: serially correlated errors
Model | Procedure | Caveats | References
Rendered fromivx-ar.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

Robust inference: Eicker-White and wild bootstrap
Why bootstrap | The two schemes | Replication of DGRT (2023), Table 4 | Caveats | References
Rendered fromrobust-inference.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

Systems of predictive regressions
Model and statistic | Validation | Caveats | References
Rendered fromivx-sys.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

Rolling IVX tests for bubble detection
References
Rendered fromrolling-ivx.Rmdusingknitr::rmarkdown

Last update: 2026-09-12
Started: 2026-09-12

Readme and manuals

Help Manual

Help pageTopics
Autocorrelation testsac_test
Tests for autocorrelationac_test_ ac_test_bg ac_test_bp ac_test_lb ac_test_wald
Augmented Regression Method (Amihud, Hurvich & Wang)arm print.arm
Fitter Function for the Augmented Regression Methodarm_fit
Bonferroni Q-Test of Campbell and Yogo (2006)cy_test cy_test_fit print.cy_test
Calculate the delta coefficientdelta
Unified Empirical Likelihood Test for Predictability (Liu, Yang, Cai & Peng)el_test el_test_fit print.el_test
Control-Function Predictability Test of Elliott (2011)elliott_cf elliott_cf_fit print.elliott_cf
'extract' method for 'ivx' objectsextract.ivx extract.ivx_ar
Hybrid t-Test for Return Predictability (Harvey, Leybourne & Taylor)hlt_test hlt_test_fit print.hlt_test
Fitting IVX Modelsivx print.ivx
Fitting IVX-AR Modelsivx_ar print.ivx_ar
Fitter Functions for IVX-AR Modelsivx_ar_fit
Wild Bootstrap Inference for IVX Modelsivx_boot print.ivx_boot
Subsample IVX Tests for Episodic Predictabilityivx_episodic print.ivx_episodic
Fitter Functions for IVX Modelsivx_fit ivx_wfit
IV Predictability Tests with Combined Instrumentsivx_iv print.ivx_iv
Fitter Function for IV Predictability Testsivx_iv_fit
Fitting IVX Quantile Predictive Regressionsivx_qr print.ivx_qr summary.ivx_qr
Moving Block Bootstrap for IVX-QRivx_qr_boot print.ivx_qr_boot
Fitter Function for IVX-QR Modelsivx_qr_fit
Fitting Residual-Augmented IVX Modelsivx_ra print.ivx_ra
Fitter Function for Residual-Augmented IVX Modelsivx_ra_fit
Fitting Systems of IVX Predictive Regressionsivx_sys print.ivx_sys summary.ivx_sys
Fitter Function for Systems IVX Modelsivx_sys_fit
KMS Monthly datakms
KMS Quarterly datakms_quarterly
Summarizing IVX Model Fitsprint.summary.ivx summary.ivx
Summarizing IVX-AR Model Fitsprint.summary.ivx_ar summary.ivx_ar
Calculate Variance-Covariance Matrix for a Fitted Model Objectvcov.ivx vcov.summary.ivx
YLPC Quarterly dataylpc