svars: Data-Driven Identification of SVAR Models
Version 1.0.1

Implements data-driven identification methods for structural vector autoregressive (SVAR) models. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) ), least dependent innovations (Herwartz, H., Ploedt, M., (2016) ) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) ).

Package details

AuthorAlexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Date of publication2017-12-13 09:36:59 UTC
MaintainerAlexander Lange <[email protected]>
LicenseGPL (>= 2)
Version1.0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("svars")

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svars documentation built on Dec. 13, 2017, 5:02 p.m.