R Package 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 documentation can be downloaded as a pdf-file. In addition a vignette of the package is made avaible, too and can be accessed from here.


The package is hosted on CRAN and development versions can be installed from R-Forge or from GitHub. The CRAN release of the package can also be downloaded from this site in its source or binary form.