Other packages > Find by keyword >

svars  

Data-Driven Identification of SVAR Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("svars", "1.3.12")



Attach the package and use:
library("svars")
Maintained by
Alexander Lange
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-11-09
Latest Update: 2025-09-03
Description:
Implements data-driven identification methods for structural vector autoregressive (SVAR) models as described in Lange et al. (2021) <doi:10.18637/jss.v097.i05>. 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>)).
How to cite:
Alexander Lange (2017). svars: Data-Driven Identification of SVAR Models. R package version 1.3.12, https://cran.r-project.org/web/packages/svars. Accessed 28 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:11), 1.0.0 (2017-11-09 12:36), 1.0.1 (2017-12-13 10:37), 1.1.0 (2018-01-16 13:25), 1.1.1 (2018-02-14 18:56), 1.1.2 (2018-03-06 11:28), 1.2.0 (2018-06-07 19:43), 1.2.1 (2018-08-08 16:40), 1.2.2 (2018-11-17 15:10), 1.3.0 (2019-06-28 17:00), 1.3.1 (2019-07-26 00:20), 1.3.2 (2019-09-10 18:20), 1.3.3 (2020-01-09 19:50), 1.3.4 (2020-11-12 07:00), 1.3.5 (2020-11-23 11:50), 1.3.6 (2021-01-13 14:50), 1.3.7 (2021-03-19 00:30), 1.3.8 (2021-08-06 17:40), 1.3.9 (2022-02-04 16:00), 1.3.11 (2023-02-06 11:00)
Other packages that cited svars R package
View svars citation profile
Other R packages that svars depends, imports, suggests or enhances
Complete documentation for svars
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

mxnorm  
Apply Normalization Methods to Multiplexed Images
Implements methods to normalize multiplexed imaging data, including statistical metrics and visuali ...
Download / Learn more Package Citations See dependency  
RGIFT  
Create Quizzes in GIFT Format
Implementation of some functions to create quizzes in the GIFT format. This format is used by sever ...
Download / Learn more Package Citations See dependency  
survivalMPLdc  
Penalised Likelihood for Survival Analysis with Dependent Censoring
Fitting Cox proportional hazard model under dependent right censoring using copula and maximum penal ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
shinyFeedback  
Display User Feedback in Shiny Apps
Easily display user feedback in Shiny apps. ...
Download / Learn more Package Citations See dependency  
NPflow  
Bayesian Nonparametrics for Automatic Gating of Flow-Cytometry Data
Dirichlet process mixture of multivariate normal, skew normal or skew t-distributions modeling orie ...
Download / Learn more Package Citations See dependency  

28,332

R Packages

239,283

Dependencies

75,113

Author Associations

28,333

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA