svars (1.0.0)

Data-Driven Identification of SVAR Models.

http://cran.r-project.org/web/packages/svars

Implements data-driven identification methods for structural vector autoregressive (SVAR) models. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) ), least dependent innovations (Herwartz, H., Ploedt, M., (2016) ) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) ).

Maintainer: Alexander Lange
Author(s): Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]

License: GPL (>= 2)

Uses: clue, copula, DEoptim, expm, ggplot2, pbapply, reshape2, steadyICA, tsDyn, vars

Released almost 2 years ago.