Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR/SVEC models.
| Version: | 1.5-0 |
| Depends: | R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4) |
| Published: | 2012-07-26 |
| Author: | Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb] |
| Maintainer: | Bernhard Pfaff <bernhard at pfaffikus.de> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.pfaffikus.de |
| NeedsCompilation: | no |
| Citation: | vars citation info |
| In views: | Econometrics, Finance, TimeSeries |
| CRAN checks: | vars results |
| Package source: | vars_1.5-0.tar.gz |
| MacOS X binary: | vars_1.5-0.tgz |
| Windows binary: | vars_1.5-0.zip |
| Reference manual: | vars.pdf |
| Vignettes: |
VAR, SVAR and SVEC models |
| News/ChangeLog: | ChangeLog |
| Old sources: | vars archive |
| Reverse depends: | het.test, RMAWGEN |
| Reverse imports: | RMAWGEN, tsDyn |
| Reverse suggests: | portes |