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>), 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>)).

Version: 1.3.6
Depends: R (≥ 2.10), vars (≥ 1.5.3)
Imports: expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA, DEoptim, zoo, strucchange, Rcpp
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 2.1.0), tsDyn
Published: 2021-01-13
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: yes
Citation: svars citation info
In views: TimeSeries
CRAN checks: svars results


Reference manual: svars.pdf
Vignettes: Data-Driven Identification of SVAR Models
Package source: svars_1.3.6.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: svars_1.3.6.tgz, r-oldrel: svars_1.3.6.tgz
Old sources: svars archive


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