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.

Version:	1.6-1
Depends:	R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Imports:	methods
Published:	2024-03-21
DOI:	10.32614/CRAN.package.vars
Author:	Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Maintainer:	Bernhard Pfaff <bernhard at pfaffikus.de>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://www.pfaffikus.de
NeedsCompilation:	no
Citation:	vars citation info
Materials:	ChangeLog
In views:	Econometrics, Finance, TimeSeries
CRAN checks:	vars results

Documentation:

Reference manual:

vars.html , vars.pdf

Downloads:

Package source:	vars_1.6-1.tar.gz
Windows binaries:	r-devel: vars_1.6-1.zip, r-release: vars_1.6-1.zip, r-oldrel: vars_1.6-1.zip
macOS binaries:	r-release (arm64): vars_1.6-1.tgz, r-oldrel (arm64): vars_1.6-1.tgz, r-release (x86_64): vars_1.6-1.tgz, r-oldrel (x86_64): vars_1.6-1.tgz
Old sources:	vars archive

Reverse dependencies:

Reverse depends:	ECTSVR, ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, svars, tsapp
Reverse imports:	bootCT, cforecast, convergenceDFM, EconCausal, EQUALrepeat, fChange, fdaACF, ftsa, funtimes, grangers, grangersearch, HDTSA, portes, pvars, RGENERATE, SAMtool, starvars, tsDyn, tvReg, VARshrink, weakARMA
Reverse suggests:	AER, bivarhr, broom, bruceR, BVAR, collapse, dfms, dsem, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy, valueprhr, VARtests
Reverse enhances:	greybox

Linking:

Please use the canonical form https://CRAN.R-project.org/package=vars to link to this page.