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 <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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vars documentation built on May 1, 2019, 8:23 p.m.