vars: 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.

Install the latest version of this package by entering the following in R:
install.packages("vars")
AuthorBernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Date of publication2013-07-22 10:42:44
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 2)
Version1.5-2
http://www.pfaffikus.de

View on CRAN

Functions

A Man page
Acoef Man page
A-deprecated Man page
arch Man page
arch-deprecated Man page
arch.test Man page
B Man page
Bcoef Man page
B-deprecated Man page
BQ Man page
Canada Man page
causality Man page
coef Man page
coefficients Man page
coef.varest Man page
fanchart Man page
fevd Man page
fevd.svarest Man page
fevd.svecest Man page
fevd.varest Man page
fevd.vec2var Man page
fitted Man page
fitted.values Man page
fitted.varest Man page
fitted.vec2var Man page
irf Man page
irf.svarest Man page
irf.svecest Man page
irf.varest Man page
irf.vec2var Man page
logLik Man page
logLik.svarest Man page
logLik.svecest Man page
logLik.varest Man page
logLik.vec2var Man page
normality Man page
normality-deprecated Man page
normality.test Man page
Phi Man page
Phi.svarest Man page
Phi.svecest Man page
Phi.varest Man page
Phi.vec2var Man page
plot.varcheck Man page
plot.varest Man page
plot.varfevd Man page
plot.varirf Man page
plot.varprd Man page
plot.varstabil Man page
plot.vec2var Man page
predict Man page
predict.varest Man page
predict.vec2var Man page
print.svarest Man page
print.svarsum Man page
print.svecest Man page
print.svecsum Man page
print.varcheck Man page
print.varest Man page
print.varfevd Man page
print.varirf Man page
print.varprd Man page
print.varstabil Man page
print.varsum Man page
print.vec2var Man page
Psi Man page
Psi.varest Man page
Psi.vec2var Man page
resid Man page
residuals Man page
residuals.varest Man page
residuals.vec2var Man page
restrict Man page
roots Man page
serial Man page
serial-deprecated Man page
serial.test Man page
stability Man page
summary Man page
summary.svarest Man page
summary.svecest Man page
summary.varest Man page
SVAR Man page
SVEC Man page
VAR Man page
vars-deprecated Man page
VARselect Man page
vec2var Man page

Files

inst
inst/CITATION
inst/book-ex
inst/book-ex/Rcode-2-3.R
inst/book-ex/ex2.tar.gz
inst/book-ex/Rcode-2-9.R inst/book-ex/Rcode-1-3.R inst/book-ex/Rcode-5-3.R inst/book-ex/Rcode-2-8.R inst/book-ex/Rcode-8-16.R inst/book-ex/Rcode-1-1.R inst/book-ex/Rcode-2-2.R inst/book-ex/Rcode-2-10.R inst/book-ex/Rcode-8-10.R inst/book-ex/Rcode-1-2.R inst/book-ex/Rcode-5-5.R inst/book-ex/Rcode-2-7.R inst/book-ex/Rcode-7-3.R inst/book-ex/Rcode-8-6.R inst/book-ex/Rcode-1-4.R inst/book-ex/Rcode-8-13.R inst/book-ex/Rcode-4-1.R inst/book-ex/Rcode-5-1.R inst/book-ex/Rcode-2-4.R inst/book-ex/Rcode-6-2.R inst/book-ex/Rcode-8-15.R inst/book-ex/Rcode-8-2.R inst/book-ex/Rcode-2-5.R inst/book-ex/Rcode-8-14.R inst/book-ex/Rcode-4-4.R inst/book-ex/Rcode-5-2.R inst/book-ex/Rcode-8-8.R inst/book-ex/Rcode-8-3.R inst/book-ex/Rcode-5-4.R inst/book-ex/Rcode-6-3.R inst/book-ex/Rcode-7-2.R inst/book-ex/Rcode-8-7.R inst/book-ex/Rcode-8-1.R inst/book-ex/Rcode-7-1.R inst/book-ex/Rcode-8-5.R inst/book-ex/Rcode-2-1.R inst/book-ex/Rcode-4-3.R inst/book-ex/Rcode-8-4.R inst/book-ex/Rcode-8-17.R inst/book-ex/Rcode-4-2.R inst/book-ex/Rcode-2-6.R inst/book-ex/Rcode-3-2.R inst/book-ex/Rcode-8-11.R inst/book-ex/Rcode-6-1.R inst/book-ex/Rcode-8-9.R inst/book-ex/Rcode-3-4.R inst/book-ex/Rcode-8-12.R inst/book-ex/Rcode-2-11.R inst/book-ex/Rcode-3-3.R inst/book-ex/Rcode-3-1.R
inst/ChangeLog
inst/doc
inst/doc/vars.pdf
inst/doc/vars.Rnw
inst/doc/vars.R
tests
tests/ExamplesTest.Rout
tests/CheckCausality.R
tests/CheckCausality.Rout
tests/ExamplesTest.R
NAMESPACE
data
data/Canada.RData
R
R/fevd.varest.R R/plot.varirf.R R/print.varprd.R R/coef.varest.R R/print.varest.R R/Psi.varest.R R/print.varcheck.R R/fitted.vec2var.R R/print.svecest.R R/Phi.R R/Psi.R R/SVAR.R R/residuals.varest.R R/Psi.vec2var.R R/summary.svecest.R R/plot.varest.R R/irf.varest.R R/print.varirf.R R/causality.R R/B.R R/plot.vec2var.R R/print.varstabil.R R/plot.varfevd.R R/vec2var.R R/Phi.varest.R R/toMlm.R R/print.vec2var.R R/stability.R R/irf.vec2var.R R/print.svarsum.R R/VAR.R R/serial.R R/fanchart.R R/Phi.svarest.R R/logLik.varest.R R/roots.R R/restrict.R R/normality.R R/logLik.svarest.R R/summary.svarest.R R/irf.R R/internal.R R/logLik.vec2var.R R/A.R R/plot.varstabil.R R/fevd.R R/predict.varest.R R/print.varfevd.R R/summary.varest.R R/Phi.svecest.R R/logLik.svecest.R R/predict.vec2var.R R/print.varsum.R R/VARselect.R R/arch.R R/plot.varcheck.R R/fitted.varest.R R/fevd.svecest.R R/irf.svecest.R R/print.svecsum.R R/fevd.vec2var.R R/fevd.svarest.R R/SVEC.R R/BQ.R R/irf.svarest.R R/residuals.vec2var.R R/plot.varprd.R R/print.svarest.R R/Phi.vec2var.R
vignettes
vignettes/Figures
vignettes/Figures/fig-4.pdf
vignettes/Figures/fig-1.pdf
vignettes/Figures/fig-2.pdf
vignettes/Figures/fig-3.pdf
vignettes/Figures/fig-5.pdf
vignettes/vars.Rnw
vignettes/vars.bib
MD5
DESCRIPTION
man
man/vars-deprecated.Rd man/SVEC.Rd man/vec2var.Rd man/coefficients.Rd man/residuals.Rd man/irf.Rd man/logLik.Rd man/BQ.Rd man/arch.Rd man/causality.Rd man/predict.Rd man/VARselect.Rd man/normality.Rd man/VAR.Rd man/Canada.Rd man/Phi.Rd man/stability.Rd man/B.Rd man/fitted.Rd man/fanchart.Rd man/SVAR.Rd man/serial.Rd man/restrict.Rd man/plot.Rd man/roots.Rd man/fevd.Rd man/Psi.Rd man/summary.Rd man/A.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.