VAR, SVAR and SVEC Models: Implementation Within R Package vars

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Authors Bernhard Pfaff
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper 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 dierent 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.
Date of publication 2008
Code Programming Language R

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