VAR, SVAR and SVEC Models: Implementation Within R Package vars
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...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2008-02-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v27/i04/paper |
| _version_ | 1819072404679294976 |
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| author | Bernhard Pfaff |
| author_facet | Bernhard Pfaff |
| author_sort | Bernhard Pfaff |
| collection | DOAJ |
| description | 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 different 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. |
| first_indexed | 2024-12-21T17:37:12Z |
| format | Article |
| id | doaj.art-582ef302a7644fcda27e8d567153ffb4 |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-12-21T17:37:12Z |
| publishDate | 2008-02-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-582ef302a7644fcda27e8d567153ffb42022-12-21T18:55:43ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602008-02-01274VAR, SVAR and SVEC Models: Implementation Within R Package varsBernhard PfaffThe 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 different 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.http://www.jstatsoft.org/v27/i04/papervector autoregressive modelsstructural vector autoregressive modelsstructural vector error correction modelsRvars |
| spellingShingle | Bernhard Pfaff VAR, SVAR and SVEC Models: Implementation Within R Package vars Journal of Statistical Software vector autoregressive models structural vector autoregressive models structural vector error correction models R vars |
| title | VAR, SVAR and SVEC Models: Implementation Within R Package vars |
| title_full | VAR, SVAR and SVEC Models: Implementation Within R Package vars |
| title_fullStr | VAR, SVAR and SVEC Models: Implementation Within R Package vars |
| title_full_unstemmed | VAR, SVAR and SVEC Models: Implementation Within R Package vars |
| title_short | VAR, SVAR and SVEC Models: Implementation Within R Package vars |
| title_sort | var svar and svec models implementation within r package vars |
| topic | vector autoregressive models structural vector autoregressive models structural vector error correction models R vars |
| url | http://www.jstatsoft.org/v27/i04/paper |
| work_keys_str_mv | AT bernhardpfaff varsvarandsvecmodelsimplementationwithinrpackagevars |