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.
Version: | 1.5-2 |
Depends: | R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4) |
Published: | 2013-07-22 |
Author: | Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb] |
Maintainer: | Bernhard Pfaff <bernhard at pfaffikus.de> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
URL: | http://www.pfaffikus.de |
NeedsCompilation: | no |
Citation: | vars citation info |
Materials: | ChangeLog |
In views: | Econometrics, Finance, TimeSeries |
CRAN checks: | vars results |
Reference manual: | vars.pdf |
Vignettes: |
VAR, SVAR and SVEC models |
Package source: | vars_1.5-2.tar.gz |
Windows binaries: | r-devel: vars_1.5-2.zip, r-release: vars_1.5-2.zip, r-oldrel: vars_1.5-2.zip |
OS X El Capitan binaries: | r-release: vars_1.5-2.tgz |
OS X Mavericks binaries: | r-oldrel: vars_1.5-2.tgz |
Old sources: | vars archive |
Reverse depends: | frequencyConnectedness, het.test, RMAWGEN |
Reverse imports: | autovarCore, svars, tsDyn, tvReg |
Reverse suggests: | AER, ftsa, ggfortify, portes |
Please use the canonical form https://CRAN.R-project.org/package=vars to link to this page.