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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.

Functions (29)

Coefficient matrices of the lagged endogenous variables

Coefficient matrix of an estimated VAR(p)

Estimates a Blanchard-Quah type SVAR

Canada

Canada: Macroeconomic time series

Phi

Coefficient matrices of the MA represention

Psi

Coefficient matrices of the orthogonalised MA represention

SVAR

Estimation of a SVAR

SVEC

Estimation of a SVEC

VAR

Estimation of a VAR(p)

VARselect

Information criteria and FPE for different VAR(p)

arch

ARCH-LM test

causality

Causality Analysis

coefficients

Coefficient method for objects of class varest

fanchart

Fanchart plot for objects of class varprd

fevd

Forecast Error Variance Decomposition

fitted

Fit method for objects of class varest or vec2var

irf

Impulse response function

logLik

Log-Likelihood method

normality

Normality, multivariate skewness and kurtosis test

plot

Plot methods for objects in vars

predict

Predict method for objects of class varest and vec2var

residuals

Residuals method for objects of class varest and vec2var

restrict

Restricted VAR

roots

Eigenvalues of the companion coefficient matrix of a VAR(p)-process

serial

Test for serially correlated errors

stability

Structural stability of a VAR(p)

summary

Summary method for objects of class varest, svarest and svecest

vars-deprecated

Deprecated Functions in package vars

vec2var

Transform a VECM to VAR in levels

vars

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

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

Initial release

2018-08-05

vars

Functions (29)

vars

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