svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis

Abstract

Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back to an interplay of orthogonal structural shocks. Under Gaussianity the structural parameters are unidentified without additional (often external and not data-based) information. In contrast, the often reasonable assumption of heteroskedastic and/or non-Gaussian model disturbances offers the possibility to identify unique structural shocks. We describe the R package svars which implements statistical identification techniques that can be both heteroskedasticity-based or independence-based. Moreover, it includes a rich variety of analysis tools that are well known in the SVAR literature. Next to a comprehensive review of the theoretical background, we provide a detailed description of the associated R functions. Furthermore, a macroeconomic application serves as a step-by-step guide on how to apply these functions to the identification and interpretation of structural VAR models.

How certain are we about the role of uncertainty in the economy?

“…The statistic $${\mathcal{U}}_{T}\left({\widehat{\varepsilon }}_{t,1},\text{\ldots },{\widehat{\varepsilon }}_{t,K}\right)$$ is minimized to identify samples $${\left\{{\widehat{\varepsilon }}_{t}={\mathsf{B}}^{-1}{\widehat{u}}_{t}\right\}}_{t=1}^{T}$$ with least dependent components, characterizing the estimated matrix $$\widehat{\mathsf{B}}$$. Identification through independent components is implemented in the R package svars (Lange et al., 2021).…”

Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States

“…In our analysis, we extensively use the R package svars, which implements independence-based identification (Lange et al, 2019).…”

Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?

“…Appendix B documents detailed simulation results and Appendix C shows additional results on the empirical application. Throughout, computations were performed using the R package svars (Lange et al., 2021). 2…”