Package: vars 1.6-1

vars: VAR Modelling

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.

Authors:Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

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manual.pdf |manual.html✨
card.svg |card.png
vars/json (API)

# Install 'vars' in R:
install.packages('vars', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • Canada - Canada: Macroeconomic time series

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

9.07 score 7 stars 48 packages 3.4k scripts 35k downloads 14 mentions 25 exports 8 dependencies

Last updated from:593f875399. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK111
source / vignettesOK145
linux-release-x86_64OK106
macos-release-arm64OK155
macos-oldrel-arm64OK83
windows-develOK96
windows-releaseOK76
windows-oldrelOK83
wasm-releaseOK84

Exports:AAcoefarcharch.testBBcoefBQcausalityfanchartfevdirfnormalitynormality.testPhiPsirestrictrootsserialserial.teststabilitySVARSVECVARVARselectvec2var

Dependencies:latticelmtestMASSnlmesandwichstrucchangeurcazoo

Readme and manuals

Help Manual

Help pageTopics
Coefficient matrices of the lagged endogenous variablesA-deprecated Acoef
ARCH-LM testarch-deprecated arch.test print.varcheck
Coefficient matrix of an estimated VAR(p)B-deprecated Bcoef
Estimates a Blanchard-Quah type SVARBQ
Canada: Macroeconomic time seriesCanada
Causality Analysiscausality
Coefficient method for objects of class varestcoef coef.varest coefficients
Fanchart plot for objects of class varprdfanchart
Forecast Error Variance Decompositionfevd fevd.svarest fevd.svecest fevd.varest fevd.vec2var print.varfevd
Fit method for objects of class varest or vec2varfitted fitted.values fitted.varest fitted.vec2var
Impulse response functionirf irf.svarest irf.svecest irf.varest irf.vec2var print.varirf
Log-Likelihood methodlogLik logLik.svarest logLik.svecest logLik.varest logLik.vec2var
Normality, multivariate skewness and kurtosis testnormality-deprecated normality.test
Coefficient matrices of the MA representionPhi Phi.svarest Phi.svecest Phi.varest Phi.vec2var
Plot methods for objects in varsplot.varcheck plot.varest plot.varfevd plot.varirf plot.varprd plot.varstabil plot.vec2var
Predict method for objects of class varest and vec2varpredict predict.varest predict.vec2var print.varprd
Coefficient matrices of the orthogonalised MA representionPsi Psi.varest Psi.vec2var
Residuals method for objects of class varest and vec2varresid residuals residuals.varest residuals.vec2var
Restricted VARrestrict
Eigenvalues of the companion coefficient matrix of a VAR(p)-processroots
Test for serially correlated errorsserial-deprecated serial.test
Structural stability of a VAR(p)print.varstabil stability stability.default stability.varest
Summary method for objects of class varest, svarest and svecestprint.svarsum print.svecsum print.varsum summary summary.svarest summary.svecest summary.varest
Estimation of a SVARprint.svarest SVAR
Estimation of a SVECprint.svecest SVEC
Estimation of a VAR(p)print.varest VAR
Deprecated Functions in package varsA arch B normality serial vars-deprecated
Information criteria and FPE for different VAR(p)VARselect
Transform a VECM to VAR in levelsprint.vec2var vec2var