Dear useRs,
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
Example:
library(vars)
data(Canada)
va<-VAR(Canada, p=2)
coeftest(va, vcov.=vcovHC)
causality(va, vcov.=vcovHC, boot=TRUE)
Best
Matthieu Stigler
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