Learn R Programming
⚠️There's a newer version (1.6-1) of this package.Take me there.

vars (version 1.5-9)

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 and SVEC models.

Copy Link

Version

Install

install.packages('vars')

Monthly Downloads

16,712

Version

1.5-9

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

March 22nd, 2023

Functions in vars (1.5-9)

SVAR

Estimation of a SVAR
serial.test

Test for serially correlated errors
stability

Structural stability of a VAR(p)
SVEC

Estimation of a SVEC
Acoef

Coefficient matrices of the lagged endogenous variables
arch.test

ARCH-LM test
causality

Causality Analysis
summary

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

Estimates a Blanchard-Quah type SVAR
Canada

Canada: Macroeconomic time series
Bcoef

Coefficient matrix of an estimated VAR(p)
coef

Coefficient method for objects of class varest
fanchart

Fanchart plot for objects of class varprd
normality.test

Normality, multivariate skewness and kurtosis test
vars-deprecated

Deprecated Functions in package vars
plot

Plot methods for objects in vars
Phi

Coefficient matrices of the MA represention
predict

Predict method for objects of class varest and vec2var
restrict

Restricted VAR
roots

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

Coefficient matrices of the orthogonalised MA represention
irf

Impulse response function
residuals

Residuals method for objects of class varest and vec2var
VAR

Estimation of a VAR(p)
logLik

Log-Likelihood method
VARselect

Information criteria and FPE for different VAR(p)
vec2var

Transform a VECM to VAR in levels
fevd

Forecast Error Variance Decomposition
fitted

Fit method for objects of class varest or vec2var