VAR, SVAR and SVEC Models Implementation Within R Package vars 英文论文文献.docVIP

JournalofStatisticalSoftware July2008,Volume27,Issue4. / VAR, SVAR and SVEC Models: Implementation Within R Package vars Bernhard Pfa? KronbergimTaunus Abstract The structure of the package vars and its implementation of vector autoregressive, structural vector autoregressive and structural vector error correction models are ex- plained 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 er