svars

Implements data-driven identification methods for structural vector autoregressive (SVAR) models as described in Lange et al. (2021) . 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) ), patterns of GARCH (Normadin, M., Phaneuf, L. (2004) ), independent component analysis (Matteson, D. S, Tsay, R. S., (2013) ), least dependent innovations (Herwartz, H., Ploedt, M., (2016) ), smooth transition in variances (Luetkepohl, H., Netsunajev, A. (2017) ) or non-Gaussian maximum likelihood (Lanne, M., Meitz, M., Saikkonen, P. (2017) )).

Last 30 days

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.