vars (1.5-3)

2 users

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 and 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: frequencyConnectedness, het.test, RMAWGEN, svars
Reverse suggests: AER, fpp2, ftsa, ggfortify, gogarch, portes, RTransferEntropy, tsDyn

Released 4 months ago.


10 previous versions

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  3.3/5 (3 votes)

Documentation:

  3.3/5 (3 votes)

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