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.

Package details

AuthorBernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
MaintainerBernhard Pfaff <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the vars package in your browser

Any scripts or data that you put into this service are public.

vars documentation built on Aug. 6, 2018, 9:01 a.m.