vars v1.5-3

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VAR Modelling

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.

Functions in vars

Name Description
Psi Coefficient matrices of the orthogonalised MA represention
Acoef Coefficient matrices of the lagged endogenous variables
arch.test ARCH-LM test
causality Causality Analysis
restrict Restricted VAR
SVAR Estimation of a SVAR
roots Eigenvalues of the companion coefficient matrix of a VAR(p)-process
SVEC Estimation of a SVEC
coef Coefficient method for objects of class varest
BQ Estimates a Blanchard-Quah type SVAR
Bcoef Coefficient matrix of an estimated VAR(p)
fanchart Fanchart plot for objects of class varprd
summary Summary method for objects of class varest, svarest and svecest
irf Impulse response function
logLik Log-Likelihood method
predict Predict method for objects of class varest and vec2var
vars-deprecated Deprecated Functions in package vars
residuals Residuals method for objects of class varest and vec2var
Canada Canada: Macroeconomic time series
fevd Forecast Error Variance Decomposition
fitted Fit method for objects of class varest or vec2var
serial.test Test for serially correlated errors
stability Structural stability of a VAR(p)
VAR Estimation of a VAR(p)
VARselect Information criteria and FPE for different VAR(p)
normality.test Normality, multivariate skewness and kurtosis test
plot Plot methods for objects in vars
vec2var Transform a VECM to VAR in levels
Phi Coefficient matrices of the MA represention
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Vignettes of vars

Name
Figures/fig-1.pdf
Figures/fig-2.pdf
Figures/fig-3.pdf
Figures/fig-4.pdf
Figures/fig-5.pdf
vars.Rnw
vars.bib
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Details

Type Package
Date 2018-08-05
LazyLoad yes
License GPL (>= 2)
URL http://www.pfaffikus.de
Repository CRAN
Repository/R-Forge/Project vars
Repository/R-Forge/Revision 105
Repository/R-Forge/DateTimeStamp 2018-08-05 10:46:59
Date/Publication 2018-08-06 08:00:03 UTC
Packaged 2018-08-05 10:55:37 UTC; rforge
NeedsCompilation no

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