VAR Modelling

Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models.


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install.packages("vars")

1.5-3 by Bernhard Pfaff, 10 months ago


http://www.pfaffikus.de


Browse source code at https://github.com/cran/vars


Authors: Bernhard Pfaff [aut, cre] , Matthieu Stigler [ctb]


Documentation:   PDF Manual  


Task views: Econometrics, Empirical Finance, Time Series Analysis


GPL (>= 2) license


Depends on MASS, strucchange, urca, lmtest, sandwich


Imported by TSPred, autovarCore, nowcasting, tsDyn, tvReg.

Depended on by GVARX, RMAWGEN, frequencyConnectedness, het.test, svars.

Suggested by AER, RTransferEntropy, fpp2, ftsa, ggfortify, portes.

Enhanced by greybox.


See at CRAN