CRAN/E | vars

vars

VAR Modelling

Installation

About

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.

Citation vars citation info
www.pfaffikus.de

Key Metrics

Version 1.6-1
R ≥ 2.0.0
Published 2024-03-21 29 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks vars results

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Maintainer

Maintainer

Bernhard Pfaff

bernhard@pfaffikus.de

Authors

Bernhard Pfaff

aut / cre

Matthieu Stigler

ctb

Material

ChangeLog
Reference manual
Package source

In Views

Econometrics
Finance
TimeSeries

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

vars archive

Depends

R ≥ 2.0.0
MASS
strucchange
urca ≥ 1.1-6
lmtest ≥0.9-26
sandwich ≥ 2.2-4

Imports

methods

Reverse Depends

ECTSVR
ECTTDNN
frequencyConnectedness
GVARX
RMAWGEN
Spillover
svars
tsapp

Reverse Imports

bootCT
fdaACF
ftsa
funtimes
grangers
LTAR
multivar
OOS
portes
SAMtool
starvars
tsDyn
TSPred
tvReg
VARshrink
weakARMA

Reverse Suggests

AER
broom
bruceR
BVAR
collapse
dfms
dsem
FAVAR
fpp2
ggfortify
LambertW
lpirfs
RTransferEntropy

Reverse Enhances

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