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vars (version 1.3-5)

VAR Modelling

Description

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.

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Version

Install

install.packages('vars')

Monthly Downloads

26,794

Version

1.3-5

License

GPL (>=2)

Maintainer

Bernhard Pfaff

Last Published

March 21st, 2024

Functions in vars (1.3-5)

summary

Summary method for objects of class varest
Psi

Coefficient matrices of the orthogonalised MA represention
normality

Normality, multivariate skewness and kurtosis test
residuals

Residuals method for objects of class varest and vec2var
B

Coefficient matrix of an estimated VAR(p)
roots

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

Estimation of a SVAR
fevd

Forecast Error Variance Decomposition
logLik

Log-Likelihood method
arch

ARCH-LM test
irf

Impulse response function
VAR

Estimation of a VAR(p)
fitted

Fit method for objects of class varest or vec2var
fanchart

Fanchart plot for objects of class varprd
coef

Coefficient method for objects of class varest
Canada

Canada: Macroeconomic time series
stability

Structural stability of a VAR(p)
A

Coefficient matrices of the lagged endogenous variables
Phi

Coefficient matrices of the MA represention
causality

Causality Analysis
VARselect

Information criteria and FPE for different VAR(p)
predict

Predict method for objects of class varest and vec2var
restrict

Restricted VAR
serial

Test for serially correlated errors
plot

Plot methods for objects in vars
SVEC

Estimation of a SVEC
BQ

Estimates a Blanchard-Quah type SVAR
vec2var

Transform a VECM to VAR in levels