[R-pkgs] Version 1.4.7 of package vars

From: Matthieu Stigler <matthieu.stigler_at_gmail.com>
Date: Tue, 02 Mar 2010 09:45:56 +0100


Dear useRs,

The package vars, implementing multivariate time series models VAR and VECM, has been updated to version 1.4.7

The new changes are:

-the compatibility with the sandwich/lmtest package, which allows to use
heteroskedasticity consistent (HC) covariance estimators, to do inference on the parameters taking into account heteroskedasticity of unknown form.

-Implementation of a heteroskedasticity robust Granger causality test
with HC covariance and/or a wild bootstrap

Example:
library(vars)
data(Canada)
va<-VAR(Canada, p=2)
coeftest(va, vcov.=vcovHC)
causality(va, vcov.=vcovHC, boot=TRUE)

Best

Matthieu Stigler



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