vars

swMATH4507CRANvarsMaRDI QIDQ16680

VAR Modelling

Bernhard Pfaff

Last update: 2 December 2023

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

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

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.