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
causality(va, vcov.=vcovHC, boot=TRUE)
This archive was generated by hypermail 2.2.0 : Wed 03 Mar 2010 - 18:50:03 EST