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: 1.5-3
Depends: R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Published: 2018-08-06
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_1.5-3.tar.gz
Windows binaries: r-devel:, r-devel-gcc8:, r-release:, r-oldrel:
OS X binaries: r-release: vars_1.5-3.tgz, r-oldrel: vars_1.5-3.tgz
Old sources: vars archive

Reverse dependencies:

Reverse depends: frequencyConnectedness, GVARX, het.test, RMAWGEN, svars, tsapp
Reverse imports: grangers, nowcasting, psychNET, tsDyn, TSPred, tvReg, VARshrink
Reverse suggests: AER, BVAR, collapse, fpp2, ftsa, ggfortify, lpirfs, portes, RTransferEntropy
Reverse enhances: greybox


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