svars

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)).

Last 30 days

This package has been downloaded 1,048 times in the last 30 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 14 times.

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Last 365 days

This package has been downloaded 11,168 times in the last 365 days. That's enough downloads to make it mildly famous in niche technical communities. A badge of honor! The day with the most downloads was Nov 13, 2024 with 125 downloads.

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