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Authors: Bernhard Pfaff
Title: [download]
(35765)
VAR, SVAR and SVEC Models: Implementation Within R Package vars
Reference: Vol. 27, Issue 4, Jul 2008
Submitted 2007-05-07, Accepted 2008-02-19
Type: Article
Abstract:

The structure of the package vars and its implementation of vector autoregressive, structural vector autoregressive and structural vector error correction models are explained in this paper. In addition to the three cornerstone functions VAR(), SVAR() and SVEC() for estimating such models, functions for diagnostic testing, estimation of a restricted models, prediction, causality analysis, impulse response analysis and forecast error variance decomposition are provided too. It is further possible to convert vector error correction models into their level VAR representation. The different methods and functions are elucidated by employing a macroeconomic data set for Canada. However, the focus in this writing is on the implementation part rather than the usage of the tools at hand.

Paper: [download]
(35765)
VAR, SVAR and SVEC Models: Implementation Within R Package vars
(application/pdf, 573 KB)
Supplements: [download]
(2771)
vars_1.4-0.tar.gz: R source package bundle
(application/x-gzip, 455.4 KB)
[download]
(3066)
v27i04.R: R example code from the paper
(application/zip, 1.9 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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