vars
swMATH4507CRANvarsMaRDI QIDQ16680FDOQ16680
VAR Modelling
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
Source code repository: https://github.com/cran/vars
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 (51)
- portes
- A Hilbert-Huang transform approach for predicting cyber-attacks
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- COMPARATIVE ARIMA MODELS FOR AGE-SPECIFIC FERTILITY RATES
- Valuation and pricing of electricity delivery contracts: the producer's view
- Models for Dependent Time Series, by Granville Tunnicliffe Wilson, Marco Reale and John Haywood Published by CRC Press, 2016. Total number of pages: 323. ISBN 978‐1‐58488‐650‐1
- Title not available (Why is that?)
- Boosting techniques for nonlinear time series models
- A cointegration analysis of crime, economic activity, and police performance in São Paulo city
- Forecasting compositional risk allocations
- Data-driven portfolio management with quantile constraints
- Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
- Linking Tukey's legacy to financial risk measurement
- An age-at-death distribution approach to forecast cohort mortality
- Dynamic Linear Models with R
- tsDyn
- ftsa
- Applied Econometrics with R
- A power comparison between autocorrelation based tests
- funtimes
- tvReg
- Title not available (Why is that?)
- Title not available (Why is that?)
- Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
- RMAWGEN
- svars
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- SAMtool
- frequencyConnectedness
- Spillover
- GVARX
- Stationary vine copula models for multivariate time series
- bootCT
- Introductory Time Series with R
- weakARMA
- starvars
- tsapp
- One-Class Classification-Based Control Charts for Monitoring Autocorrelated Multivariate Processes
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- TSPred
- OOS
- ECTTDNN
- fdaACF
- VARshrink
- grangers
- Financial risk modelling and portfolio optimization with R
- Modern Psychometrics with R
- Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling
- Bayesian Networks in R
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