Re: [R] vetor autoregressions and BVARs

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Fri 23 Jul 2004 - 18:54:28 EST

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. hth,
Z  

> Hope this helps. spencer graves
> p.s. PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>
> 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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R-help@stat.math.ethz.ch mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Jul 23 19:05:03 2004

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