vars

MaRDI QIDQ16680swMATHCRANFDO

Authors Bernhard Pfaff

Last update 2 December 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 1.5-9, 0.1.0, 0.1.1, 0.1.3, 0.1.5, 0.1.7, 0.1.9, 0.2.1, 0.2.6, 0.2.7, 0.2.9, 0.5-7, 0.5-8, 0.5.3, 0.6-5, 0.7-5, 0.7-6, 0.7-7, 0.8-5, 1.1-5, 1.1-9, 1.3-1, 1.3-3, 1.3-4, 1.3-5, 1.3-6, 1.3-7, 1.3-8, 1.4-0, 1.4-1, 1.4-2, 1.4-3, 1.4-4, 1.4-5, 1.4-6, 1.4-7, 1.4-8, 1.4-9, 1.5-0, 1.5-1, 1.5-2, 1.5-3, 1.5-6, 1.6-0

Official website http://cran.r-project.org/web/packages/vars/

Source code repository https://github.com/cran/vars

Description

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.

Cited in

(only showing first 100 items - show all)

• Dynamic Linear Models with R
• Applied Econometrics with R
• Stationary vine copula models for multivariate time series
• JMulTi
• fBasics
• forecast
• MSBVAR
• tseries
• strucchange
• fracdiff
• zoo
• urca
• timeSeries
• viridis
• Demography
• Forecast
• plm
• FitAR
• G1DBN
• rsprng
• Systemfit
• fArma
• MortalitySmooth
• latentnet
• bvarsv
• TSA
• tsDyn
• cts
• Rugarch
• AS 311
• AS 181
• qgraph
• ftsa
• CARBayesST
• MTS
• NetOrigin
• tempdisagg
• StableEstim
• ctv
• FRAPO
• chron
• dynlm
• micEcon
• R2HTML
• tseriesChaos
• dynsbm
• cccp
• gogarch
• rneos
• MuTE
• funtimes
• TRENTOOL
• POET
• gergm
• StMoMo
• JIDT
• DemProj
• mAr
• GTK+
• JDemetra+
• FIAR
• its
• fanplot
• pVAR
• fUnitRoots
• IDTxl
• dyn
• mFilter
• Fan Chart
• nonlinearTseries
• RTransferEntropy
• StFinMetrics
• BigVAR
• GNAR
• graphicalVAR
• sparsevar
• portes
• mgm
• tvReg
• Algorithm 878
• RMAWGEN
• VADER
• SAMtool
• frequencyConnectedness
• Spillover
• GVARX
• bootCT
• TSPred
• BVAR
• Boosting techniques for nonlinear time series models
• Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
• GVAR
• ECTSVR
• LTAR
• bvartools
• multivar
• One-Class Classification-Based Control Charts for Monitoring Autocorrelated Multivariate Processes
• A Hilbert-Huang transform approach for predicting cyber-attacks
• Modern psychometrics with R
• Linking Tukey's legacy to financial risk measurement

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