pvars: VAR Modeling for Heterogeneous Panels

Implements (1) panel cointegration rank tests, (2) estimators for panel vector autoregressive (VAR) models, and (3) identification methods for panel structural vector autoregressive (SVAR) models as described in the accompanying vignette. The implemented functions allow to account for cross-sectional dependence and for structural breaks in the deterministic terms of the VAR processes. Among the large set of functions, particularly noteworthy are those that implement (1) the correlation-augmented inverse normal test on the cointegration rank by Arsova and Oersal (2021, <doi:10.1016/j.ecosta.2020.05.002>), (2) the two-step estimator for pooled cointegrating vectors by Breitung (2005, <doi:10.1081/ETC-200067895>), and (3) the pooled identification based on independent component analysis by Herwartz and Wang (2024, <doi:10.1002/jae.3044>).

Version:	1.1.0
Depends:	R (≥ 3.5.0), svars (≥ 1.3.4)
Imports:	clue, copula, DEoptim, expm, ggplot2, MASS, pbapply, reshape2, scales, stats, steadyICA, utils, vars
Suggests:	ggfortify, ggpubr, knitr, plm, RColorBrewer, testthat (≥ 2.1.0), tikzDevice, urca
Published:	2025-10-15
DOI:	10.32614/CRAN.package.pvars
Author:	Lennart Empting [aut, cre, cph]
Maintainer:	Lennart Empting <lennart.empting at vwl.uni-due.de>
BugReports:	https://github.com/Lenni89/pvars/issues
License:	MIT + file LICENSE
URL:	https://github.com/Lenni89/pvars
NeedsCompilation:	no
Citation:	pvars citation info
Materials:	NEWS
CRAN checks:	pvars results

Documentation:

Reference manual:	pvars.html , pvars.pdf
Vignettes:	pvars - VAR Modeling for Heterogeneous Panels (source)

Downloads:

Package source:	pvars_1.1.0.tar.gz
Windows binaries:	r-devel: not available, r-release: pvars_1.1.0.zip, r-oldrel: not available
macOS binaries:	r-release (arm64): pvars_1.1.0.tgz, r-oldrel (arm64): pvars_1.1.0.tgz, r-release (x86_64): pvars_1.1.0.tgz, r-oldrel (x86_64): pvars_1.1.0.tgz

Linking:

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