[R] vetor autoregressions and BVARs
Achim.Zeileis at wu-wien.ac.at
Fri Jul 23 10:54:28 CEST 2004
On Thu, 22 Jul 2004 18:48:44 -0700 Spencer Graves wrote:
> 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?
In addition, simple VAR models can also be fitted by ar(), e.g. by OLS.
> 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
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