SVAR
(Package: vars) :
Estimation of a SVAR
Estimates an SVAR (either ‘A-model’, ‘B-model’ or ‘AB-model’) by using a scoring algorithm or by directly minimising the negative log-likelihood with optim().
● Data Source:
CranContrib
● Keywords: regression
● Alias: SVAR
●
0 images
|
serial.test
(Package: vars) :
Test for serially correlated errors
This function computes the multivariate Portmanteau- and Breusch-Godfrey test for serially correlated errors.
● Data Source:
CranContrib
● Keywords: regression
● Alias: serial.test
●
0 images
|
restrict
(Package: vars) :
Restricted VAR
Estimation of a VAR, by imposing zero restrictions manually or by significance.
● Data Source:
CranContrib
● Keywords: regression
● Alias: restrict
●
0 images
|
plot
(Package: vars) :
Plot methods for objects in vars
Plot method for objects with class attribute varest, vec2var, varcheck, varfevd, varirf, varprd, varstabil.
● Data Source:
CranContrib
● Keywords: regression
● Alias: plot.varcheck
●
0 images
|
roots
(Package: vars) :
Eigenvalues of the companion coefficient matrix of a VAR(p)-process
Returns a vector of the eigenvalues of the companion coefficient matrix.
● Data Source:
CranContrib
● Keywords: regression
● Alias: roots
●
0 images
|
fevd
(Package: vars) :
Forecast Error Variance Decomposition
Computes the forecast error variance decomposition of a VAR(p) for n.ahead steps.
● Data Source:
CranContrib
● Keywords: regression
● Alias: fevd
●
0 images
|
Psi
(Package: vars) :
Coefficient matrices of the orthogonalised MA represention
Returns the estimated orthogonalised coefficient matrices of the moving average representation of a stable VAR(p) as an array.
● Data Source:
CranContrib
● Keywords: regression
● Alias: Psi
●
0 images
|
summary
(Package: vars) :
Summary method for objects of class varest, svarest and svecest
'summary' methods for class '"varest"', '"svarest"' and '"svecest"'.
● Data Source:
CranContrib
● Keywords: regression
● Alias: summary
●
0 images
|
Acoef
(Package: vars) :
Coefficient matrices of the lagged endogenous variables
Returns the estimated coefficient matrices of the lagged endogenous variables as a list of matrices each with dimension (K \times K).
● Data Source:
CranContrib
● Keywords: regression
● Alias: Acoef
●
0 images
|
vars-deprecated
(Package: vars) :
Deprecated Functions in package vars
These functions are provided for compatibility with older versions of package vars only, and may be defunct as soon as the next release.
● Data Source:
CranContrib
● Keywords: regression
● Alias: A, B, arch, normality, serial, vars-deprecated
●
0 images
|
providing 
.