cheaton/vars2: 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)
Version1.5-3
URL http://www.pfaffikus.de
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("cheaton/vars2")
cheaton/vars2 documentation built on Oct. 1, 2018, 12:22 a.m.