Data-Driven Identification of SVAR Models

Documentation for package ‘svars’ version 1.3.11

ba.boot	Bootstrap after Bootstrap
cf	Counterfactuals for SVAR Models
chow.test	Chow Test for Structural Break
fevd	Forecast error variance decomposition for SVAR Models
fevd.svars	Forecast error variance decomposition for SVAR Models
hd	Historical decomposition for SVAR Models
id.chol	Recursive identification of SVAR models via Cholesky decomposition
id.cv	Identification of SVAR models based on Changes in volatility (CV)
id.cvm	Independence-based identification of SVAR models via Cramer-von Mises (CVM) distance
id.dc	Independence-based identification of SVAR models build on distance covariances (DC) statistic
id.garch	Identification of SVAR models through patterns of GARCH
id.ngml	Non-Gaussian maximum likelihood (NGML) identification of SVAR models
id.st	Identification of SVAR models by means of a smooth transition (ST) in covariance
irf	Impulse Response Functions for SVAR Models
irf.svars	Impulse Response Functions for SVAR Models
js.test	Chi-square test for joint hypotheses
LN	Interaction between monetary policy and the stock market
mb.boot	Moving block bootstrap for IRFs of identified SVARs
stability	Structural stability of a VAR(p)
stability.varest	Structural stability of a VAR(p)
svars	svars: Data-driven identification of structural VAR models
USA	US macroeconomic time series
wild.boot	Wild bootstrap for IRFs of identified SVARs