IRIS Toolbox Reference Manual

Vector Autoregressions (VAR Objects)

VAR objects can be constructed as plain VARs or simple panel VARs (with fixed effect), and estimated without or with prior dummy observations (quasi-bayesian VARs). VAR objects are reduced-form models; they are also the point of departure for identifying structural VARs (SVAR objects).

VAR methods:

Constructor

Getting information about VAR objects

Referencing VAR objects

Simulation, forecasting and filtering

Manipulating VARs

Stochastic properties

Estimation, identification, and statistical tests

Getting on-line help on VAR functions

help VAR
help VAR/function_name