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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: | 1.6-1 |
| Depends: | R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4) |
| Imports: | methods |
| Published: | 2024-03-21 |
| DOI: | 10.32614/CRAN.package.vars |
| 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_1.6-1.tar.gz |
| Windows binaries: | r-devel: vars_1.6-1.zip, r-release: vars_1.6-1.zip, r-oldrel: vars_1.6-1.zip |
| macOS binaries: | r-release (arm64): vars_1.6-1.tgz, r-oldrel (arm64): vars_1.6-1.tgz, r-release (x86_64): vars_1.6-1.tgz, r-oldrel (x86_64): vars_1.6-1.tgz |
| Old sources: | vars archive |
| Reverse depends: | ECTSVR, ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp |
| Reverse imports: | bootCT, EQUALrepeat, fdaACF, ftsa, funtimes, grangers, HDTSA, LTAR, multivar, OOS, portes, SAMtool, starvars, tsDyn, TSPred, tvReg, VARshrink, weakARMA |
| Reverse suggests: | AER, broom, bruceR, BVAR, collapse, dfms, dsem, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy |
| Reverse enhances: | greybox |
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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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