vars: VAR Modelling

Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models.

Version: 1.5-2
Depends: R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Published: 2013-07-22
Author: Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Maintainer: Bernhard Pfaff <bernhard at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: vars citation info
Materials: ChangeLog
In views: Econometrics, Finance, TimeSeries
CRAN checks: vars results


Reference manual: vars.pdf
Vignettes: VAR, SVAR and SVEC models
Package source: vars_1.5-2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: vars_1.5-2.tgz, r-oldrel: vars_1.5-2.tgz
Old sources: vars archive

Reverse dependencies:

Reverse depends: het.test, RMAWGEN
Reverse imports: autovarCore, tsDyn
Reverse suggests: ftsa, ggfortify, portes


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