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vars (version 1.1-9)

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/SVEC models.

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Version

Install

install.packages('vars')

Monthly Downloads

26,145

Version

1.1-9

License

GPL 2 or newer

Maintainer

Bernhard Pfaff

Last Published

March 21st, 2024

Functions in vars (1.1-9)

fevd

Forecast Error Variance Decomposition
SVAR

Estimation of a SVAR
Canada

Canada: Macroeconomic time series
B

Coefficient matrix of an estimated VAR(p)
Phi

Coefficient matrices of the MA represention
A

Coefficient matrices of the lagged endogenous variables
residuals

Residuals method for objects of class varest and vec2var
SVAR2

Estimation of a SVAR (scoring algorithm)
coef

Coefficient method for objects of class varest
logLik

Log-Likelihood method
VARselect

Information criteria and FPE for different VAR(p)
SVEC

Estimation of a SVEC
summary

Summary method for objects of class varest
normality

Normality, multivariate skewness and kurtosis test
fanchart

Fanchart plot for objects of class varprd
stability

Structural stability of a VAR(p)
fitted

Fit method for objects of class varest or vec2var
plot

Plot methods for objects in vars
predict

Predict method for objects of class varest and vec2var
restrict

Restricted VAR
arch

ARCH-LM test
VAR

Estimation of a VAR(p)
irf

Impulse response function
causality

Causality Analysis
roots

Eigenvalues of the companion coefficient matrix of a VAR(p)-process
BQ

Estimates a Blanchard-Quah type SVAR
vec2var

Transform a VECM to VAR in levels
serial

Test for serially correlated errors
Psi

Coefficient matrices of the orthogonalised MA represention