svars (1.3.1)

Data-Driven Identification of SVAR Models.

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) ), patterns of GARCH (Normadin, M., Phaneuf, L. (2004) ), independent component analysis (Matteson, D. S, Tsay, R. S., (2013) ), least dependent innovations (Herwartz, H., Ploedt, M., (2016) ), smooth transition in variances (Luetkepohl, H., Netsunajev, A. (2017) ) 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: MIT + file LICENSE

Uses: clue, copula, DEoptim, expm, ggplot2, pbapply, Rcpp, reshape2, steadyICA, strucchange, tsDyn, vars, zoo, testthat

Released about 1 month ago.