Package: svars
Type: Package
Title: Data-Driven Identification of SVAR Models
Version: 1.3.11
Date: 2023-01-29
Author: Alexander Lange [aut, cre],
  Bernhard Dalheimer [aut],
  Helmut Herwartz [aut],
  Simone Maxand [aut],
  Hannes Riebl [ctb]
Authors@R: c(person("Alexander", "Lange", role = c("aut", "cre"), email = "alexander.lange@uni-goettingen.de"), person("Bernhard", "Dalheimer", role = c("aut"), email = "bernhard.dalheimer@uni-goettingen.de"), person("Helmut", "Herwartz", role = c("aut"), email = "hherwartz@uni-goettingen.de"), person("Simone", "Maxand", role = c("aut"), email = "smaxand@uni-goettingen.de"), person("Hannes", "Riebl", role = c("ctb")))
Maintainer: Alexander Lange <alexander.lange@uni-goettingen.de>
Description: 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>)).
Depends: R (>= 2.10), vars (>= 1.5.3)
Imports: expm, reshape2, ggplot2, copula, clue, pbapply, steadyICA,
        DEoptim, zoo, strucchange, Rcpp, methods
LinkingTo: Rcpp, RcppArmadillo
NeedsCompilation: yes
License: MIT + file LICENSE
LazyData: TRUE
RoxygenNote: 7.2.3
SystemRequirements: C++17
Suggests: testthat (>= 2.1.0), tsDyn
Packaged: 2023-01-30 19:51:32 UTC; alex
Repository: CRAN
Date/Publication: 2023-02-06 10:00:02 UTC
Built: R 4.3.1; x86_64-conda-linux-gnu; 2023-11-05 04:34:20 UTC; unix
