vars: VAR Modelling

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

Documentation:

Reference manual:

vars.pdf

Downloads:

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 dependencies:

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

Linking:

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