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svars

Data-Driven Identification of SVAR Models

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>)).

Functions (20)

LN

Interaction between monetary policy and the stock market

USA

US macroeconomic time series

ba.boot

Bootstrap after Bootstrap

cf

Counterfactuals for SVAR Models

chow.test

Chow Test for Structural Break

fevd

Forecast error variance decomposition for SVAR Models

hd

Historical decomposition for SVAR Models

id.chol

Recursive identification of SVAR models via Cholesky decomposition

id.cv

Identification of SVAR models based on Changes in volatility (CV)

id.cvm

Independence-based identification of SVAR models via Cramer-von Mises (CVM) distance

id.dc

Independence-based identification of SVAR models build on distance covariances (DC) statistic

id.garch

Identification of SVAR models through patterns of GARCH

id.ngml

Non-Gaussian maximum likelihood (NGML) identification of SVAR models

id.st

Identification of SVAR models by means of a smooth transition (ST) in covariance

irf

Impulse Response Functions for SVAR Models

js.test

Chi-square test for joint hypotheses

mb.boot

Moving block bootstrap for IRFs of identified SVARs

stability

Structural stability of a VAR(p)

svars

svars: Data-driven identification of structural VAR models

wild.boot

Wild bootstrap for IRFs of identified SVARs

svars

Data-Driven Identification of SVAR Models

v1.3.7
MIT + file LICENSE
Authors
Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]
Initial release
2021-03-17

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