vars (1.5-0)
VAR Modelling.
http://www.pfaffikus.de
http://cran.r-project.org/web/packages/vars
Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR/SVEC models.
Maintainer:
Bernhard Pfaff
Author(s): Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
License: GPL (>= 2)
Uses: lmtest, MASS, sandwich, strucchange, urca
Reverse depends: het.test, RMAWGEN
Reverse suggests: gogarch, portes, tsDyn
Released 10 months ago.
7 previous versions
- vars_1.4-9. Released over 1 year ago.
- vars_1.4-8. Released over 2 years ago.
- vars_1.4-7. Released about 3 years ago.
- vars_1.4-6. Released almost 4 years ago.
- vars_1.4-5. Released about 4 years ago.
- vars_1.4-0. Released almost 5 years ago.
- vars_1.3-6. Released over 5 years ago.
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Reviews
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Friendly and useful
A very friendly and well documented implementation of Vector Auto regressions and it’s derivatives.
john.ros gave vars (1.4-8) a 4. Read the full review.
Related packages: dlm, dse, dyn, dynlm, its, MSBVAR, sde, timeSeries, tsDyn, tseries, tsfa, urca, zoo, CADFtest, forecast, AER, boot, car, Ecdat, FinTS … (20 best matches, based on common tags.)
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Visit vars on R Graphical Manual.
