[R] Multivariate time-series

[Achim Zeileis]

On Mon, 13 Nov 2006 15:42:06 -0600 David Kaplan wrote:

> Hi all,
> 
> I'm looking for R packages that estimate multivariate time-series
> models or vector-autoregression (VAR) time-series models.

The Econometrics task view at
  http://CRAN.R-project.org/src/contrib/Views/Econometrics.html
has in the "Time-series modelling" section:

For estimating VAR models, several methods are available: simple models
can be fitted by ar() in stats, more elaborate models are provided
package vars, estVARXls() in dse and a Bayesian approach is
available in MSBVAR.

hth,
Z

> Thanks
> 
> David
> 
> 
> -- 
> ===========================================================================
> David Kaplan, Ph.D.
> Professor
> Department of Educational Psychology
> University of Wisconsin - Madison
> Educational Sciences, Room, 1061
> 1025 W. Johnson Street
> Madison, WI 53706
> 
> email: dkaplan at education.wisc.edu
> homepage:
> http://www.education.wisc.edu/edpsych/facstaff/kaplan/kaplan.htm
> Phone: 608-262-0836
> 
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