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vars (version 1.5-6)

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

21,000

Version

1.5-6

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

September 17th, 2021

Functions in vars (1.5-6)

Bcoef

Coefficient matrix of an estimated VAR(p)
BQ

Estimates a Blanchard-Quah type SVAR
Psi

Coefficient matrices of the orthogonalised MA represention
VAR

Estimation of a VAR(p)
VARselect

Information criteria and FPE for different VAR(p)
Phi

Coefficient matrices of the MA represention
Canada

Canada: Macroeconomic time series
SVAR

Estimation of a SVAR
Acoef

Coefficient matrices of the lagged endogenous variables
SVEC

Estimation of a SVEC
normality.test

Normality, multivariate skewness and kurtosis test
arch.test

ARCH-LM test
coef

Coefficient method for objects of class varest
irf

Impulse response function
fevd

Forecast Error Variance Decomposition
logLik

Log-Likelihood method
fanchart

Fanchart plot for objects of class varprd
plot

Plot methods for objects in vars
causality

Causality Analysis
vec2var

Transform a VECM to VAR in levels
fitted

Fit method for objects of class varest or vec2var
summary

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

Predict method for objects of class varest and vec2var
restrict

Restricted VAR
residuals

Residuals method for objects of class varest and vec2var
stability

Structural stability of a VAR(p)
serial.test

Test for serially correlated errors
roots

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

Deprecated Functions in package vars