Package: svars
Type: Package
Title: Data-Driven Identification of SVAR Models
Version: 1.3.13
Date: 2025-08-24
Author: Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut
        Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Authors@R: c(person("Alexander", "Lange", role = c("aut", "cre"), email = "alexanderlange328@gmail.com"), person("Bernhard", "Dalheimer", role = c("aut"), email = "bernhard.dalheimer@uni-goettingen.de"), person("Helmut", "Herwartz", role = c("aut"), email = "hherwartz@uni-goettingen.de"), person("Simone", "Maxand", role = c("aut"), email = "smaxand@uni-goettingen.de"), person("Hannes", "Riebl", role = c("ctb")))
Maintainer: Alexander Lange <alexanderlange328@gmail.com>
Description: 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>)).
Depends: R (>= 2.10), vars (>= 1.5.3)
Encoding: UTF-8
Imports: expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA,
        DEoptim, zoo, strucchange, Rcpp, methods
LinkingTo: Rcpp, RcppArmadillo
NeedsCompilation: yes
License: MIT + file LICENSE
LazyData: TRUE
RoxygenNote: 7.3.2
SystemRequirements: C++17
Suggests: testthat (>= 2.1.0), tsDyn
Config/pak/sysreqs: libgsl0-dev libicu-dev
Repository: https://alexanderlange53.r-universe.dev
Date/Publication: 2025-10-18 10:24:57 UTC
RemoteUrl: https://github.com/alexanderlange53/svars
RemoteRef: HEAD
RemoteSha: 1e06a32f998cd477633f158b79995a68f4701bf9
Packaged: 2026-06-15 09:00:00 UTC; root