svars

swMATH38309CRANsvarsMaRDI QIDQ54009FDOQ54009

Data-Driven Identification of SVAR Models

Alexander Lange, Bernhard Dalheimer, Helmut Herwartz, Simone Maxand

Last update: 6 February 2023

Copyright license: MIT license, File License

Software version identifier: 1.3.11

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

Cites work

• svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis
• Identification Through Heteroskedasticity
• Monetary policy shocks:
• Independent Component Analysis via Distance Covariance
• The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach
• Structural vector autoregressions with smooth transition in variances
• Identification and estimation of non-Gaussian structural vector autoregressions

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