VARS

The goal of VARS is to implement various VAR estimation and identification approaches, as well as inference tools.

Progress

• basic VAR model and VAR tools (IRF, FEVD, HDC)
• classic VAR, i.e. OLS estimation, IV and recursive identification, bootstrap
• bayesian VAR with (narrative) sign restrictions
• add test data and code to the R package
• add function and data documentation

Installation

You can install the development version of VARS from GitHub with:

# install.packages("pak")
pak::pak("GoldenBaozi/VARS")

Example

This is a basic example which shows you how to solve a common problem:

library(VARS)
## basic example code
## see /tests/testthat/test-bVAR.R

Replic

Replication of Antolín-Díaz and Rubio-Ramírez (2018), figure 2

IRFs of global oil market