stephenbnicar/vectorautoregressions.jl

Estimating Vector Autoregressions (VARs) using Julia.

VectorAutoregressions.jl

Estimating Vector Autoregressions (VARs) using Julia.

VectorAutoregressions.jl is an in-development package for estimating VARs using Julia. The initial goal is to provide functionality comparable to the vars package in R. Longer-term goals include adding Bayesian estimation.

Currently implemented:

• Calculate lag selection criteria.
• Estimate an unrestricted VAR using OLS.
• Check the stability of an estimated VAR.
• Portmanteau test for autocorrelation in the residuals.
• LM (Breusch-Godfrey) test for autocorrelation in the residuals.

To do:

• Test for normally-distributed residuals.
• Calculate simple and orthogonalized impulse responses.
• Add support for linear restrictions.
• Add support for structural VARs.

vectorautoregressions.jl's Issues

Sub pkgdir in examples

spelling: "autocorrelation" not "autocorellation"

Appears in readme.md.