svars

Data-Driven Identification of SVAR Models

Implements data-driven identification methods for structural vector autoregressive (SVAR) models. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) <doi:10.1162/003465303772815727>), least dependent innovations (Herwartz, H., Ploedt, M., (2016) <doi:10.1016/j.jimonfin.2015.11.001>) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) <doi:10.1016/j.jeconom.2016.06.002>).

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Description file content

Package
svars
Type
Package
Title
Data-Driven Identification of SVAR Models
Version
1.2.2
Date
2018-11-15
Author
Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Maintainer
Alexander Lange
Description
Implements data-driven identification methods for structural vector autoregressive (SVAR) models. Based on an existing VAR model object (provided by e.g. VAR() from the 'vars' package), the structural impact matrix is obtained via data-driven identification techniques (i.e. changes in volatility (Rigobon, R. (2003) ), least dependent innovations (Herwartz, H., Ploedt, M., (2016) ) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) ).
Depends
R (>= 2.10), vars (>= 1.5.3)
Imports
expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, tsDyn, DEoptim, zoo, strucchange
License
MIT + file LICENSE
LazyData
TRUE
RoxygenNote
6.1.0
Suggests
testthat
NeedsCompilation
no
Packaged
2018-11-15 11:04:09 UTC; alex
Repository
CRAN
Date/Publication
2018-11-17 14:10:03 UTC

install.packages('svars')

1.2.2

23 days ago

Alexander Lange

MIT + file LICENSE

Depends on

R (>= 2.10), vars (>= 1.5.3)

Imports

expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, tsDyn, DEoptim, zoo, strucchange

Suggests

testthat

Discussions