This package should eventually be very capable of doing things that are implemented in R packages urca and vars. This is of course a long process and there is a roadmap to what I plan to add:
- VAR
- VECM
- Unit root tests
- DF test / ADF test
- KPSS
- (Later on tests based on probability integral)
- Plotting (using Gadfly package)
After this stage there will be stage of writing reasonable documentation for the package including demos and adding some data, and demonstrations preferably in form of IJulia notebooks.
- CIVAR
- SVEC
- FIVAR / FCVAR (In MATLAB style, as in here. )
This package is under heavy developement so naming conventions might change as well as structure of the types.