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 |
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| Online Access: | http://www.jstatsoft.org/v27/i04/paper |