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vars (version 1.6-0)

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

16,712

Version

1.6-0

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

December 2nd, 2023

Functions in vars (1.6-0)

coef

Coefficient method for objects of class varest
fitted

Fit method for objects of class varest or vec2var
logLik

Log-Likelihood method
arch.test

ARCH-LM test
normality.test

Normality, multivariate skewness and kurtosis test
irf

Impulse response function
fevd

Forecast Error Variance Decomposition
plot

Plot methods for objects in vars
causality

Causality Analysis
fanchart

Fanchart plot for objects of class varprd
vars-deprecated

Deprecated Functions in package vars
serial.test

Test for serially correlated errors
vec2var

Transform a VECM to VAR in levels
stability

Structural stability of a VAR(p)
residuals

Residuals method for objects of class varest and vec2var
summary

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

Restricted VAR
predict

Predict method for objects of class varest and vec2var
roots

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

Coefficient matrices of the MA represention
BQ

Estimates a Blanchard-Quah type SVAR
SVAR

Estimation of a SVAR
Canada

Canada: Macroeconomic time series
VARselect

Information criteria and FPE for different VAR(p)
Psi

Coefficient matrices of the orthogonalised MA represention
SVEC

Estimation of a SVEC
Bcoef

Coefficient matrix of an estimated VAR(p)
VAR

Estimation of a VAR(p)
Acoef

Coefficient matrices of the lagged endogenous variables