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vars (version 1.6-1)
VAR Modelling
Description
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.
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1.6-1
1.6-0
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Install
install.packages('vars')
Monthly Downloads
23,611
Version
1.6-1
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
March 21st, 2024
Functions in vars (1.6-1)
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BQ
Estimates a Blanchard-Quah type SVAR
SVAR
Estimation of a SVAR
Acoef
Coefficient matrices of the lagged endogenous variables
Phi
Coefficient matrices of the MA represention
Psi
Coefficient matrices of the orthogonalised MA represention
SVEC
Estimation of a SVEC
Bcoef
Coefficient matrix of an estimated VAR(p)
fevd
Forecast Error Variance Decomposition
VARselect
Information criteria and FPE for different VAR(p)
irf
Impulse response function
VAR
Estimation of a VAR(p)
fitted
Fit method for objects of class varest or vec2var
logLik
Log-Likelihood method
Canada
Canada: Macroeconomic time series
coef
Coefficient method for objects of class varest
arch.test
ARCH-LM test
fanchart
Fanchart plot for objects of class varprd
restrict
Restricted VAR
normality.test
Normality, multivariate skewness and kurtosis test
roots
Eigenvalues of the companion coefficient matrix of a VAR(p)-process
predict
Predict method for objects of class varest and vec2var
causality
Causality Analysis
stability
Structural stability of a VAR(p)
serial.test
Test for serially correlated errors
vec2var
Transform a VECM to VAR in levels
plot
Plot methods for objects in vars
vars-deprecated
Deprecated Functions in package vars
summary
Summary method for objects of class varest, svarest and svecest
residuals
Residuals method for objects of class varest and vec2var