Implements data-driven identification methods for structural vector autoregressive (SVAR) models. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) <doi:10.1162/003465303772815727>), least dependent innovations (Herwartz, H., Ploedt, M., (2016) <doi:10.1016/j.jimonfin.2015.11.001>) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) <doi:10.1016/j.jeconom.2016.06.002>).
Version: | 1.1.1 |
Imports: | vars, expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, tsDyn, DEoptim |
Suggests: | testthat |
Published: | 2018-02-14 |
Author: | Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb] |
Maintainer: | Alexander Lange <alexander.lange at uni-goettingen.de> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
Materials: | README |
In views: | TimeSeries |
CRAN checks: | svars results |
Reference manual: | svars.pdf |
Package source: | svars_1.1.1.tar.gz |
Windows binaries: | r-devel: svars_1.1.1.zip, r-release: svars_1.1.1.zip, r-oldrel: svars_1.1.1.zip |
OS X El Capitan binaries: | r-release: svars_1.1.1.tgz |
OS X Mavericks binaries: | r-oldrel: svars_1.0.1.tgz |
Old sources: | svars archive |
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