VAR Modelling


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Documentation for package `vars' version 0.7-7

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A Coefficient matrices of the lagged endogenous variables
arch ARCH-LM test
B Coefficient matrix of an estimated VAR(p)
BQ Estimates a Blanchard-Quah type SVAR
Canada Canada: Macroeconomic time series
causality Causality Analysis
fanchart Fanchart plot for objects of class varprd
fevd Forecast Error Variance Decomposition
irf Impulse response function
normality Normality, multivariate skewness and kurtosis test
Phi Coefficient matrices of the MA represention
plot.varcheck Plot method for objects of class varcheck
plot.varest Plot method for objects of class varest
plot.varfevd Plot method for objects of class varfevd
plot.varirf Plot method for objects of class varirf
plot.varprd Plot method for objects of class varprd
plot.varstabil Plot method for objects of class varstabil
predict Predict method for objects of class varest
print.svarest Estimation of a SVAR
print.svecest Estimation of a SVEC
print.varcheck ARCH-LM test
print.varest Estimation of a VAR(p)
print.varfevd Forecast Error Variance Decomposition
print.varirf Impulse response function
print.varprd Predict method for objects of class varest
print.varstabil Structural stability of a VAR(p)
print.varsum Summary method for objects of class varest
print.vec2var Transform a VECM to VAR in levels
Psi Coefficient matrices of the orthogonalised MA represention
restrict Restricted VAR
roots Eigenvalues of the companion coefficient matrix of a VAR(p)-process
serial Test for serially correlated errors
stability Structural stability of a VAR(p)
summary.varest Summary method for objects of class varest
SVAR Estimation of a SVAR
SVAR2 Estimation of a SVAR (scoring algorithm)
SVEC Estimation of a SVEC
VAR Estimation of a VAR(p)
VARselect Information criteria and FPE for different VAR(p)
vec2var Transform a VECM to VAR in levels