VAR Modelling


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Documentation for package ‘vars’ version 1.4-4

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