[R] vetor autoregressions and BVARs

[Achim Zeileis]

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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