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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.
| Version: | 1.6-1 |
| Depends: | R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4) |
| Imports: | methods |
| Published: | 2024-03-21 |
| DOI: | 10.32614/CRAN.package.vars |
| 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: | https://www.pfaffikus.de |
| NeedsCompilation: | no |
| Citation: | vars citation info |
| Materials: | ChangeLog |
| In views: | Econometrics, Finance, TimeSeries |
| CRAN checks: | vars results |
| Reference manual: | vars.pdf |
| Package source: | vars_1.6-1.tar.gz |
| Windows binaries: | r-devel: vars_1.6-1.zip, r-release: vars_1.6-1.zip, r-oldrel: vars_1.6-1.zip |
| macOS binaries: | r-release (arm64): vars_1.6-1.tgz, r-oldrel (arm64): vars_1.6-1.tgz, r-release (x86_64): vars_1.6-1.tgz, r-oldrel (x86_64): vars_1.6-1.tgz |
| Old sources: | vars archive |
| Reverse depends: | ECTSVR, ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp |
| Reverse imports: | bootCT, EQUALrepeat, fdaACF, ftsa, funtimes, grangers, HDTSA, LTAR, multivar, OOS, portes, SAMtool, starvars, tsDyn, TSPred, tvReg, VARshrink, weakARMA |
| Reverse suggests: | AER, broom, bruceR, BVAR, collapse, dfms, dsem, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy |
| Reverse enhances: | greybox |
Please use the canonical form https://CRAN.R-project.org/package=vars to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.