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Multivariate Time Series Models: VAR, SVAR and SVEC

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R Package 'vars'

Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models. This R package is used in the Springer book Analysis of Integrated and Cointegrated Time Series with R. The package is hosted on CRAN.

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