Resultado de búsqueda
svars svars: Data-driven identification of structural VAR models Description This package implements data-driven identification methods for structural vector autoregressive (SVAR) models as described in Lange et al. (2021)doi:10.18637/jss.v097.i05.
An alternative to this approach is to use so-called structural vector autoregressive (SVAR) models, where the relationship between contemporaneous variables is modelled more directly. This post provides an introduction to the concept of SVAR models and how they can be estimated in R.
macroeconomic application serves as a step-by-step guide on how to apply these functions to the identification and interpretation of structural VAR models. Keywords: SVAR models, identification, independent components, non-Gaussian maximum likelihood, changes in volatility, smooth transition covariance, R. 1. Introduction
The R package svars, which we describe in this paper, focuses on these statis-tical methods to identify the structural shocks. The R (R Core Team 2021) archive network comprises several widely applied packages for multivariate time series models and, in particular, for analyzing VAR models.
3 de ene. de 2011 · CRAN - Package svars. 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 ...
Next to a comprehensive review of the theoretical background, we provide a detailed description of the associated R functions. Furthermore, a macroeconomic application serves as a step-by-step guide on how to apply these functions to the identification and interpretation of structural VAR models.
The detection of structural shocks in SVARs relies on either economically motivated restrictions or statistical means. We compare alternative identification approaches in a simulation study and in the framework of an empirical analysis of monetary policy in the UK.
