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 |
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