alexanderlange53/SVAR_Identification_Package: Data-Driven Identification of SVAR Models
Version 1.0.0

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) ).

Getting started

Package details

AuthorAlexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
MaintainerAlexander Lange <[email protected]>
LicenseGPL (>= 2)
Version1.0.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("alexanderlange53/SVAR_Identification_Package")
alexanderlange53/SVAR_Identification_Package documentation built on Dec. 12, 2017, 7:21 p.m.