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: 1.5-2
Depends: R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Published: 2013-07-22
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: http://www.pfaffikus.de
NeedsCompilation: no
Citation: vars citation info
Materials: ChangeLog
In views: Econometrics, Finance, TimeSeries
CRAN checks: vars results

Downloads:

Reference manual: vars.pdf
Vignettes: VAR, SVAR and SVEC models
Package source: vars_1.5-2.tar.gz
OS X binary: vars_1.5-2.tgz
Windows binary: vars_1.5-2.zip
Old sources: vars archive

Reverse dependencies:

Reverse depends: het.test, RMAWGEN
Reverse imports: tsDyn
Reverse suggests: portes