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vars (version 0.1.7)

VAR Modelling

Description

Estimation, lag selection, diagnsotic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR models (A-model, B-model, AB-model).

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Version

Install

install.packages('vars')

Monthly Downloads

25,886

Version

0.1.7

License

GPL 2 or newer

Maintainer

Bernhard Pfaff

Last Published

March 21st, 2024

Functions in vars (0.1.7)

plot.varirf

Plot method for objects of class varirf
plot.varfevd

Plot method for objects of class varfevd
Phi

Coefficient matrices of the MA represention
causality

Causality Analysis
fanchart

Fanchart plot for objects of class varprd
plot.varprd

Plot method for objects of class varprd
predict.varest

Predict method for objects of class varest
VAR

Estimation of a VAR(p)
plot.varstabil

Plot method for objects of class varstabil
arch

ARCH-LM test
Psi

Coefficient matrices of the orthogonalised MA represention
serial

Test for serially correlated errors
restrict

Restricted VAR
A

Coefficient matrices of the lagged endogenous variables
summary.varest

Summary method for objects of class varest
irf

Impulse response function
SVAR

Estimation of a SVAR
B

Coefficient matrix of an estimated VAR(p)
normality

Normality, multivariate skewness and kurtosis test
roots

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

Information criteria and FPE for different VAR(p)
Canada

Canada: Macroeconomic time series
plot.varcheck

Plot method for objects of class varcheck
plot.varest

Plot method for objects of class varest
fevd

Forecast Error Variance Decomposition
stability

Structural stability of a VAR(p)