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pvars  

VAR Modeling for Heterogeneous Panels
View on CRAN: Click here


Download and install pvars package within the R console
Install from CRAN:
install.packages("pvars")

Install from Github:
library("remotes")
install_github("cran/pvars")

Install by package version:
library("remotes")
install_version("pvars", "1.1.1")



Attach the package and use:
library("pvars")
Maintained by
Lennart Empting
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-10-31
Latest Update: 2025-10-31
Description:
Implements (1) panel cointegration rank tests, (2) estimators for panel vector autoregressive (VAR) models, and (3) identification methods for panel structural vector autoregressive (SVAR) models as described in the accompanying vignette. The implemented functions allow to account for cross-sectional dependence and for structural breaks in the deterministic terms of the VAR processes. Among the large set of functions, particularly noteworthy are those that implement (1) the correlation-augmented inverse normal test on the cointegration rank by Arsova and Oersal (2021, <doi:10.1016/j.ecosta.2020.05.002>), (2) the two-step estimator for pooled cointegrating vectors by Breitung (2005, <doi:10.1081/ETC-200067895>), and (3) the pooled identification based on independent component analysis by Herwartz and Wang (2024, <doi:10.1002/jae.3044>).
How to cite:
Lennart Empting (2025). pvars: VAR Modeling for Heterogeneous Panels. R package version 1.1.1, https://cran.r-project.org/web/packages/pvars. Accessed 06 Jun. 2026.
Previous versions and publish date:
1.1.0 (2025-10-15 21:30)
Other packages that cited pvars R package
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Functions, R codes and Examples using the pvars R package
Full pvars package functions and examples
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