/vars

Multivariate Time Series Models: VAR, SVAR and SVEC

Primary LanguageR

R Package 'vars'

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. This R package is used in the Springer book Analysis of Integrated and Cointegrated Time Series with R. The package is hosted on CRAN.