Autovar is an R package for automating and simplifying the process from raw data to VAR models. For the actual VAR calculations, Bernhard Pfaff's vars package is used.
To install, type the following:
install.packages('devtools')
devtools::install_github("TimeProjection", "jeffwong")
devtools::install_github('roqua/autovar')
If you're using Windows and the above steps give you errors, try the following alternate way to install Autovar:
unloadNamespace('autovar')
download.file('https://autovar.nl/binaries/autovar_0.2-6.zip',destfile='autovar_0.2-6.zip'); install.packages('autovar_0.2-6.zip',repos = NULL)
install.packages(c('Amelia','e1071','foreign','ggplot2','gridExtra','igraph','jsonlite','knitr','markdown','norm','parallel','psych','RcppArmadillo','reshape2','stringi','stringr','urca','vars','devtools'))
devtools::install_github("TimeProjection", "jeffwong")
library('autovar')
Documentation for this package can be found here.
library('autovar')
# Example data sets can be found on https://autovar.nl
av_state <- load_file("/path/to/file.dta")
# Include models with (and without) trends in the search
av_state <- add_trend(av_state)
# Include models with (and without) day dummies in the search
av_state <- set_timestamps(av_state,
date_of_first_measurement = "2015-12-31",
measurements_per_day = 1)
# Search for VAR models for the variables Depression and Activity up to lag 3.
av_state <- var_main(av_state, vars = c("Depression", "Activity"),
lag_max = 3,
log_level = 3)
# Show the best models found
print_best_models(av_state)