vars: VAR Modelling

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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.

Author
Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Date of publication
2013-07-22 10:42:44
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 2)
Version
1.5-2
URLs

View on CRAN

Man pages

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

Files in this package

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