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>).

Version: 1.1.2
Imports: vars, expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, tsDyn, DEoptim
Suggests: testthat
Published: 2018-03-06
Author: Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Maintainer: Alexander Lange <alexander.lange at>
License: MIT + file LICENSE
NeedsCompilation: no
Materials: README
In views: TimeSeries
CRAN checks: svars results


Reference manual: svars.pdf
Package source: svars_1.1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: svars_1.1.2.tgz
OS X Mavericks binaries: r-oldrel: svars_1.0.1.tgz
Old sources: svars archive


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