vars: VAR Modelling

Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models.

Version: 1.6-1
Depends: R (≥ 2.0.0), MASS, strucchange, urca (≥ 1.1-6), lmtest (≥ 0.9-26), sandwich (≥ 2.2-4)
Imports: methods
Published: 2024-03-21
DOI: 10.32614/CRAN.package.vars
Author: Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]
Maintainer: Bernhard Pfaff <bernhard at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: vars citation info
Materials: ChangeLog
In views: Econometrics, Finance, TimeSeries
CRAN checks: vars results


Reference manual: vars.pdf


Package source: vars_1.6-1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): vars_1.6-1.tgz, r-oldrel (arm64): vars_1.6-1.tgz, r-release (x86_64): vars_1.6-1.tgz, r-oldrel (x86_64): vars_1.6-1.tgz
Old sources: vars archive

Reverse dependencies:

Reverse depends: ECTSVR, ECTTDNN, frequencyConnectedness, GVARX, RMAWGEN, Spillover, svars, tsapp
Reverse imports: bootCT, fdaACF, ftsa, funtimes, grangers, LTAR, multivar, OOS, portes, SAMtool, starvars, tsDyn, TSPred, tvReg, VARshrink, weakARMA
Reverse suggests: AER, broom, bruceR, BVAR, collapse, dfms, dsem, FAVAR, fpp2, ggfortify, LambertW, lpirfs, RTransferEntropy
Reverse enhances: greybox


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