Munich Personal RePEc Archive

VARsignR: Estimating VARs using sign restrictions in R

Danne, Christian (2015): VARsignR: Estimating VARs using sign restrictions in R.

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Abstract

VARsignR identifies structural shocks in Vector Autoregressions (VARs) using sign restrictions. It implements Uhlig’s (2005) rejection method, Uhlig’s (2005) penalty function approach, the Rubio-Ramirez et al. (2010) rejection method, and Fry and Pagan’s (2011) median target method. This vignette shows the usage and provides some technical information on the procedures that should help users to bridge the gap between VARsignR and the underlying technical papers.

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