svars: Data-Driven Identification of SVAR Models
Version 1.2.1

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 publication2018-08-08 14:40:03 UTC
MaintainerAlexander Lange <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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svars documentation built on Aug. 9, 2018, 9:06 a.m.