vars: VAR Modelling

Canonical link: https://rscholar.com/pkg/vars

Bernhard Pfaff • Matthieu Stigler • View description and downloads View dependencies GitHub project

2006 Published

1.6-1 Version

0 Citations

2 Authors

Referenced by ⇅	Year
AER: Applied Econometrics with R (Version 1.2-14)	2008
BVAR: Hierarchical Bayesian Vector Autoregression (Version 1.0.5)	2019
ECTSVR: Cointegration Based Support Vector Regression Model (Version 0.1.0)	2023
ECTTDNN: Cointegration Based Timedelay Neural Network Model (Version 0.1.0)	2021
EQUALrepeat: Algorithm Driven Time Series Analysis for Researchers without Coding Skills (Version 0.4.0)	2024
FAVAR: Bayesian Analysis of a FAVAR Model (Version 0.1.3)	2022
GVARX: Perform Global Vector Autoregression Estimation and Inference (Version 1.4)	2019
LTAR: Tensor Forecasting Functions (Version 0.1.0)	2023
LambertW: Probabilistic Models to Analyze and Gaussianize Heavy-Tailed, Skewed Data (Version 0.6.9-1)	2009
OOS: Out-of-Sample Time Series Forecasting (Version 1.0.0)	2021
RMAWGEN: Multi-Site Auto-Regressive Weather GENerator (Version 1.3.7)	2011
RTransferEntropy: Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy (Version 0.2.21)	2018
SAMtool: Stock Assessment Methods Toolkit (Version 1.8.0)	2021
Spillover: Spillover/Connectedness Index Based on VAR Modelling (Version 0.1.1)	2020
TSPred: Functions for Benchmarking Time Series Prediction (Version 5.1)	2015
VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models (Version 0.3.1)	2019
bootCT: Bootstrapping the ARDL Tests for Cointegration (Version 2.1.0)	2022
broom: Convert Statistical Objects into Tidy Tibbles (Version 1.0.7)	2014
bruceR: Broadly Useful Convenient and Efficient R Functions (Version 2024.6)	2021
collapse: Advanced and Fast Data Transformation (Version 2.0.17)	2020
dfms: Dynamic Factor Models (Version 0.2.2)	2022
dsem: Fit Dynamic Structural Equation Models (Version 1.3.0)	2023
fdaACF: Autocorrelation Function for Functional Time Series (Version 1.0.0)	2020
fpp2: Data for "Forecasting: Principles and Practice" (2nd Edition) (Version 2.5)	2017
frequencyConnectedness: Spectral Decomposition of Connectedness Measures (Version 0.2.4)	2017
ftsa: Functional Time Series Analysis (Version 6.4)	2009
funtimes: Functions for Time Series Analysis (Version 9.1)	2015
ggfortify: Data Visualization Tools for Statistical Analysis Results (Version 0.4.17)	2015
grangers: Inference on Granger-Causality in the Frequency Domain (Version 0.1.0)	2019
greybox: Toolbox for Model Building and Forecasting (Version 2.0.2)	2018
lpirfs: Local Projections Impulse Response Functions (Version 0.2.3)	2018
multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models (Version 1.1.0)	2020
portes: Portmanteau Tests for Time Series Models (Version 6.0)	2010
starvars: Vector Logistic Smooth Transition Models Estimation and Prediction (Version 1.1.10)	2020
svars: Data-Driven Identification of SVAR Models (Version 1.3.11)	2017
tsDyn: Nonlinear Time Series Models with Regime Switching (Version 11.0.5.2)	2006
tsapp: Time Series, Analysis and Application (Version 1.0.4)	2020
tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions (Version 0.5.9)	2017
weakARMA: Tools for the Analysis of Weak ARMA Models (Version 1.0.3)	2022

RPKG Scholar presents a tabulation of an author's contribution in the development of R packages stored in the Comprehensive R Archive Network (CRAN). Within this site, we consider package dependencies (suggests,imports,depends,enhances) as citations because we believe that using one's package to develop another is tantamount to citing the author of the package being imported, suggested or enhanced.