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.


Reference manual

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1.5-6 by Bernhard Pfaff, 4 months ago

Browse source code at

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

Documentation:   PDF Manual  

Task views: Econometrics, Empirical Finance, Time Series Analysis

GPL (>= 2) license

Depends on MASS, strucchange, urca, lmtest, sandwich

Imported by OOS, SAMtool, TSPred, VARshrink, fdaACF, ftsa, grangers, multivar, nowcasting, starvars, tsDyn, tvReg.

Depended on by ECTTDNN, GVARX, RMAWGEN, Spillover, frequencyConnectedness, svars, tsapp.

Suggested by AER, BVAR, LambertW, RTransferEntropy, broom, bruceR, collapse, fpp2, ggfortify, lpirfs, portes.

Enhanced by greybox.

See at CRAN