Package: svars 1.3.11

svars: Data-Driven Identification of SVAR Models

Implements data-driven identification methods for structural vector autoregressive (SVAR) models as described in Lange et al. (2021) <doi:10.18637/jss.v097.i05>. 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>), patterns of GARCH (Normadin, M., Phaneuf, L. (2004) <doi:10.1016/j.jmoneco.2003.11.002>), independent component analysis (Matteson, D. S, Tsay, R. S., (2013) <doi:10.1080/01621459.2016.1150851>), least dependent innovations (Herwartz, H., Ploedt, M., (2016) <doi:10.1016/j.jimonfin.2015.11.001>), smooth transition in variances (Luetkepohl, H., Netsunajev, A. (2017) <doi:10.1016/j.jedc.2017.09.001>) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) <doi:10.1016/j.jeconom.2016.06.002>)).

Authors:Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]

svars_1.3.11.tar.gz
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svars.pdf |svars.html✨
svars/json (API)

# Install 'svars' in R:
install.packages('svars', repos = c('https://alexanderlange53.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/alexanderlange53/svars/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • LN - Interaction between monetary policy and the stock market
  • USA - US macroeconomic time series

On CRAN:

14 exports 42 stars 3.00 score 55 dependencies 118 scripts 979 downloads

Last updated 2 years agofrom:c51f597b87. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 06 2024
R-4.5-win-x86_64NOTESep 06 2024
R-4.5-linux-x86_64NOTEAug 07 2024
R-4.4-win-x86_64OKSep 06 2024
R-4.4-mac-x86_64OKSep 06 2024
R-4.4-mac-aarch64OKSep 06 2024
R-4.3-win-x86_64OKSep 06 2024
R-4.3-mac-x86_64OKSep 06 2024
R-4.3-mac-aarch64OKSep 06 2024

Exports:ba.bootcfchow.testhdid.cholid.cvid.cvmid.dcid.garchid.ngmlid.stjs.testmb.bootwild.boot

Dependencies:ADGofTestcliclueclustercolorspacecombinatcopulaDEoptimexpmfansifarverggplot2gluegslgtableisobandlabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellmvtnormnlmenumDerivpbapplypcaPPpillarpkgconfigplyrpsplineR6RColorBrewerRcppRcppArmadilloreshape2rlangsandwichscalesstablediststeadyICAstringistringrstrucchangetibbleurcautf8varsvctrsviridisLitewithrzoo

Data-Driven Identification of SVAR Models

Rendered fromsvars.Rnwusingutils::Sweaveon Sep 06 2024.

Last update: 2019-11-28
Started: 2019-11-06