vars: VAR Modelling

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.

Version: 1.5-6
Depends: R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Published: 2021-09-17
Author: Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://www.pfaffikus.de
NeedsCompilation: no
Citation: vars citation info
Materials: ChangeLog
In views: Econometrics, Finance, TimeSeries
CRAN checks: vars results

Documentation:

Reference manual: vars.pdf

Downloads:

Package source: vars_1.5-6.tar.gz
Windows binaries: r-devel: vars_1.5-6.zip, r-release: vars_1.5-6.zip, r-oldrel: vars_1.5-6.zip
macOS binaries: r-release (arm64): vars_1.5-6.tgz, r-release (x86_64): vars_1.5-6.tgz, r-oldrel: vars_1.5-6.tgz
Old sources: vars archive

Reverse dependencies:

Reverse depends: ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp
Reverse imports: fdaACF, grangers, nowcasting, OOS, SAMtool, tsDyn, TSPred, tvReg, VARshrink
Reverse suggests: AER, broom, bruceR, BVAR, collapse, fpp2, ftsa, ggfortify, LambertW, lpirfs, portes, RTransferEntropy
Reverse enhances: greybox

Linking:

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