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.
Documentation:
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Reverse dependencies:
Reverse depends: |
ECTSVR, ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp |
Reverse imports: |
bootCT, fdaACF, ftsa, funtimes, grangers, LTAR, multivar, OOS, portes, SAMtool, starvars, tsDyn, TSPred, tvReg, VARshrink, weakARMA |
Reverse suggests: |
AER, broom, bruceR, BVAR, collapse, dfms, dsem, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy |
Reverse enhances: |
greybox |
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