vars

MaRDI QIDQ16680swMATHCRANFDO

Authors Bernhard Pfaff

Last update 21 March 2024

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

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, PACKAGES.rds, 1.6-1

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)

• Stationary vine copula models for multivariate time series
• weakARMA
• RGENERATE
• starvars
• tsapp
• OOS
• ECTTDNN
• JMulTi
• fdaACF
• TSPred
• multivar
• bvartools
• BVAR
• VARshrink
• grangers
• Boosting techniques for nonlinear time series models
• Linking Tukey's legacy to financial risk measurement
• MSBVAR
• forecast
• fBasics
• tseries
• A power comparison between autocorrelation based tests
• Forecasting compositional risk allocations
• strucchange
• Forecast
• Demography
• plm
• FitAR
• G1DBN
• rsprng
• Systemfit
• Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
• fArma
• MortalitySmooth
• latentnet
• zoo
• bvarsv
• An age-at-death distribution approach to forecast cohort mortality
• Valuation and pricing of electricity delivery contracts: the producer's view
• TSA
• urca
• tsDyn
• Data-driven portfolio management with quantile constraints
• Rugarch
• cts
• AS 311
• AS 181
• qgraph
• fracdiff
• ftsa
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• MTS
• CARBayesST
• NetOrigin
• tempdisagg
• StableEstim
• Financial risk modelling and portfolio optimization with R
• FRAPO
• ctv
• timeSeries
• The elements of financial econometrics
• dynsbm
• cccp
• gogarch
• rneos
• viridis
• Financial risk modelling and portfolio optimization with R
• TRENTOOL
• MuTE
• funtimes
• POET
• gergm
• StMoMo
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• Analysis of integrated and co-integrated time series with R
• Applied Econometrics with R
• JIDT
• micEcon
• mAr
• DemProj
• One-Class Classification-Based Control Charts for Monitoring Autocorrelated Multivariate Processes
• GTK+
• JDemetra+
• FIAR
• Introductory Time Series with R
• chron
• R2HTML
• its
• fanplot
• pVAR
• fUnitRoots
• dynlm
• IDTxl
• tseriesChaos
• mFilter
• dyn
• Fan Chart
• RTransferEntropy
• nonlinearTseries
• StFinMetrics

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