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vars (version 1.5-3)

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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Version

Install

install.packages('vars')

Monthly Downloads

23,611

Version

1.5-3

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

August 6th, 2018

Functions in vars (1.5-3)

Psi

Coefficient matrices of the orthogonalised MA represention
Acoef

Coefficient matrices of the lagged endogenous variables
arch.test

ARCH-LM test
causality

Causality Analysis
restrict

Restricted VAR
SVAR

Estimation of a SVAR
roots

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

Estimation of a SVEC
coef

Coefficient method for objects of class varest
BQ

Estimates a Blanchard-Quah type SVAR
Bcoef

Coefficient matrix of an estimated VAR(p)
fanchart

Fanchart plot for objects of class varprd
summary

Summary method for objects of class varest, svarest and svecest
irf

Impulse response function
logLik

Log-Likelihood method
predict

Predict method for objects of class varest and vec2var
vars-deprecated

Deprecated Functions in package vars
residuals

Residuals method for objects of class varest and vec2var
Canada

Canada: Macroeconomic time series
fevd

Forecast Error Variance Decomposition
fitted

Fit method for objects of class varest or vec2var
serial.test

Test for serially correlated errors
stability

Structural stability of a VAR(p)
VAR

Estimation of a VAR(p)
VARselect

Information criteria and FPE for different VAR(p)
normality.test

Normality, multivariate skewness and kurtosis test
plot

Plot methods for objects in vars
vec2var

Transform a VECM to VAR in levels
Phi

Coefficient matrices of the MA represention