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.

Documentation

Manual: vars.pdf
Vignette: VAR, SVAR and SVEC models

Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>

Author(s): Bernhard Pfaff*, Matthieu Stigler*

Install package and any missing dependencies by running this line in your R console:

install.packages("vars")

Depends R (>= 2.0.0), MASS, strucchange, urca(>=1.1-6), lmtest(>=0.9-26), sandwich(>=2.2-4)
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depends
frequencyConnectedness, het.test, RMAWGEN
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autovarCore, tsDyn
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AER, ftsa, ggfortify, portes
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Package vars
Materials
URL http://www.pfaffikus.de
Task Views Econometrics , Finance , TimeSeries
Version 1.5-2
Published 2013-07-22
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks vars check results
Package source vars_1.5-2.tar.gz