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vars (version 1.5-2)

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 and SVEC models.

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Version

Install

install.packages('vars')

Monthly Downloads

26,794

Version

1.5-2

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

July 22nd, 2013

Functions in vars (1.5-2)

SVAR

Estimation of a SVAR
serial.test

Test for serially correlated errors
summary

Summary method for objects of class varest, svarest and svecest
normality.test

Normality, multivariate skewness and kurtosis test
irf

Impulse response function
BQ

Estimates a Blanchard-Quah type SVAR
restrict

Restricted VAR
VARselect

Information criteria and FPE for different VAR(p)
Psi

Coefficient matrices of the orthogonalised MA represention
vec2var

Transform a VECM to VAR in levels
arch.test

ARCH-LM test
VAR

Estimation of a VAR(p)
Acoef

Coefficient matrices of the lagged endogenous variables
predict

Predict method for objects of class varest and vec2var
plot

Plot methods for objects in vars
stability

Structural stability of a VAR(p)
logLik

Log-Likelihood method
coef

Coefficient method for objects of class varest
Phi

Coefficient matrices of the MA represention
SVEC

Estimation of a SVEC
fevd

Forecast Error Variance Decomposition
Canada

Canada: Macroeconomic time series
vars-deprecated

Deprecated Functions in package vars
causality

Causality Analysis
Bcoef

Coefficient matrix of an estimated VAR(p)
roots

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

Fanchart plot for objects of class varprd
fitted

Fit method for objects of class varest or vec2var
residuals

Residuals method for objects of class varest and vec2var