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: | 1.5-6 |
Depends: | R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4) |
Published: | 2021-09-17 |
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: | https://www.pfaffikus.de |
NeedsCompilation: | no |
Citation: | vars citation info |
Materials: | ChangeLog |
In views: | Econometrics, Finance, TimeSeries |
CRAN checks: | vars results |
Reference manual: | vars.pdf |
Package source: | vars_1.5-6.tar.gz |
Windows binaries: | r-devel: vars_1.5-6.zip, r-release: vars_1.5-6.zip, r-oldrel: vars_1.5-6.zip |
macOS binaries: | r-release (arm64): vars_1.5-6.tgz, r-oldrel (arm64): vars_1.5-6.tgz, r-release (x86_64): vars_1.5-6.tgz, r-oldrel (x86_64): vars_1.5-6.tgz |
Old sources: | vars archive |
Reverse depends: | ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp |
Reverse imports: | bootCT, fdaACF, ftsa, funtimes, grangers, multivar, OOS, SAMtool, starvars, tsDyn, TSPred, tvReg, VARshrink, weakARMA |
Reverse suggests: | AER, broom, bruceR, BVAR, collapse, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy |
Reverse enhances: | greybox |
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