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svars: Data-Driven Identification of SVAR Models

Implements data-driven identification methods for structural vector autoregressive (SVAR) models as described in Lange et al. (2021) <doi:10.18637/jss.v097.i05>. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) <doi:10.1162/003465303772815727>), patterns of GARCH (Normadin, M., Phaneuf, L. (2004) <doi:10.1016/j.jmoneco.2003.11.002>), independent component analysis (Matteson, D. S, Tsay, R. S., (2013) <doi:10.1080/01621459.2016.1150851>), least dependent innovations (Herwartz, H., Ploedt, M., (2016) <doi:10.1016/j.jimonfin.2015.11.001>), smooth transition in variances (Luetkepohl, H., Netsunajev, A. (2017) <doi:10.1016/j.jedc.2017.09.001>) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) <doi:10.1016/j.jeconom.2016.06.002>)).

Version: 1.3.11
Depends: R (≥ 2.10), vars (≥ 1.5.3)
Imports: expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, DEoptim, zoo, strucchange, Rcpp, methods
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 2.1.0), tsDyn
Published: 2023-02-06
DOI: 10.32614/CRAN.package.svars
Author: Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Maintainer: Alexander Lange <alexander.lange at uni-goettingen.de>
License: MIT + file LICENSE
NeedsCompilation: yes
SystemRequirements: C++17
Citation: svars citation info
In views: TimeSeries
CRAN checks: svars results

Documentation:

Reference manual: svars.pdf
Vignettes: Data-Driven Identification of SVAR Models

Downloads:

Package source: svars_1.3.11.tar.gz
Windows binaries: r-devel: svars_1.3.11.zip, r-release: svars_1.3.11.zip, r-oldrel: svars_1.3.11.zip
macOS binaries: r-release (arm64): svars_1.3.11.tgz, r-oldrel (arm64): svars_1.3.11.tgz, r-release (x86_64): svars_1.3.11.tgz, r-oldrel (x86_64): svars_1.3.11.tgz
Old sources: svars archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=svars to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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