R/vars

The functions contained in the package "vars" facilitate the estimation of vector autoregressive and structural vector autoregressive models. Aside of the functions VAR() and SVAR(), the user can apply various diagnostic tests, such as ARCH, serial correlation and normality tests, to check for spherical disturbances. Predictions of a VAR, forecast error variance decomposition, impulse response analysis and causality testing are other features of the package. The package is purely written in R and S3-classes are employed. The current version is: 1.4-8 as of 27 August 2010. A ChangeLog file is shipped in its root directory such that any modifications are as transparent as possible to the user. You can view and download the changelog file by clicking on the following link: ChangeLog. The package has been written and is maintained by Bernhard Pfaff. Please adress correspondence to the email adress listed in the DESCRIPTION file of the package.

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The current documentation can be downloaded as pdf-file here. The package's vignette can be downloaded as pdf-file here.

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The latest tarball can be downloaded here: vars_1.4-8.tar.gz
The latest windows binary can be downloaded here: vars_1.4-8.zip
Aside of these sources, the package is available on CRAN and it is hosted on R-Forge: AICTS II (daily snapshots, forum, email list, etc.).

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