vars (1.5-3)

2 users

VAR Modelling.

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.

Maintainer: Bernhard Pfaff
Author(s): Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

License: GPL (>= 2)

Uses: lmtest, MASS, sandwich, strucchange, urca
Reverse depends: frequencyConnectedness, GVARX, het.test, RMAWGEN, svars, tsapp
Reverse suggests: AER, BVAR, collapse, fpp2, ftsa, ggfortify, gogarch, lpirfs, portes, RTransferEntropy, tsDyn
Reverse enhances: greybox

Released almost 2 years ago.

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  3.3/5 (3 votes)


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Related packages: dynlm, strucchange, tsDyn, tseries, tsfa, urca, zoo, CADFtest, xts, forecast, gets, AER, boot, car, Ecdat, gmm, lmtest, meboot, nlme, sandwich(20 best matches, based on common tags.)

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