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)

• ECTTDNN
• fdaACF
• VARshrink
• grangers
• BVAR
• bvartools
• multivar
• Linking Tukey's legacy to financial risk measurement
• An age-at-death distribution approach to forecast cohort mortality
• A power comparison between autocorrelation based tests
• Applied Econometrics with R
• Dynamic Linear Models with R
• portes
• NlinTS
• Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• GVAR
• ECTSVR
• LTAR
• The elements of financial econometrics
• Stationary vine copula models for multivariate time series
• Comparative ARIMA models for age-specific fertility rates
• Introductory Time Series with R
• One-Class Classification-Based Control Charts for Monitoring Autocorrelated Multivariate Processes
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• Financial risk modelling and portfolio optimization with R
• Analysis of integrated and co-integrated time series with R
• iMoMo
• Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling
• A Hilbert-Huang transform approach for predicting cyber-attacks
• Modern psychometrics with R
• Financial risk modelling and portfolio optimization with R
• Valuation and pricing of electricity delivery contracts: the producer's view
• Boosting techniques for nonlinear time series models
• Bayesian networks in R. With applications in systems biology
• 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
• Forecasting compositional risk allocations
• Data-driven portfolio management with quantile constraints
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city
• 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

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