[R] vetor autoregressions and BVARs
spencer.graves at pdf.com
Fri Jul 23 03:48:44 CEST 2004
A search -> "R site search" from www.r-project.org for "vector
autoregression" produced documentation of an "mAr" package for vector
autoregression. Beyond this, a search for "kalman filter time series"
produced 29 hits, most of which looked to me to be potentially
relevant. Have you looked at these?
Hope this helps. spencer graves
p.s. PLEASE do read the posting guide!
Nirav Mehta wrote:
> I have not been able to find any programs for running vector
> autoregressions with R. I am interested in running Bayesian VARs and
> also running VARs that run all combinations of variables in the
> vector. Is anyone currently developing this?
> -Nirav Mehta
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide!
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