VECTOR AUTOREGRESSIVE MODELS USING “R”

Ciprian Alexandru, Nicoleta Caragea and Ana Maria Dobre
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Ana Maria Dobre: National Institute of Statistics, Bucharest
Authors registered in the RePEc Author Service: Ana Maria Ciuhu

SEA - Practical Application of Science, 2013, issue 1, 59-67

Abstract: Multivariate data analysis in the context of autoregressive models has evolved as a standard instrument in econometrics. In present, there are developed packages available in R for estimating time series models; one of the most useful package is vars (Pfaff, 2008) containing functions for diagnostic testing, estimation of a restricted models, prediction, causality analysis, impulse response analysis and forecast error variance decomposition. Using the examples provided in the vars vignette, the authors tried to obtain results for the different methods and functions on the base of macroeconomic data set for Romania.

Keywords: Autoregressive models; Testing; R; vars (search for similar items in EconPapers)
JEL-codes: C32 I11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cmj:seapas:y:2013:i:1:alexandruc,caragean,dobream

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