2012-07-22 Bernhard Pfaff * DESCRIPTION (Date): Included Authors@R 2010-02-05 Matthieu Stigler * R/internal.R: Correct predict() for case when VAR is restricted (different df). 2010-02-05 Dr. Bernhard Pfaff * R/causality.R: Enhanced causality testing by supporting HAC. 2009-08-10 Dr. Bernhard Pfaff * man/summary.Rd: Deleted erroneous \cr. 2009-08-04 Dr. Bernhard Pfaff * R/predict-vec2var.R: Fixed bug in trend generation for forecasts. 2009-05-04 Dr. Bernhard Pfaff * inst/book-ex/Rcode-1-3.R: Changed start year for unemployment rate. 2009-05-04 Dr. Bernhard Pfaff * R/restrict.R ("manual"): Fixed bug (coercing lhs to data frame). 2009-04-29 Dr. Bernhard Pfaff * R/stability.R ("stability"): Fixed bug (extracting formula from lm object). 2009-01-22 Dr. Bernhard Pfaff * R/VAR.R: Fixed bug, season is directly evaluated and replaced in match.call(). 2009-01-09 Dr. Bernhard Pfaff * man/SVAR.Rd: Fixed warning on htest. * man/SVEC.Rd: Fixed warning on htest. 2008-12-14 Dr. Bernhard Pfaff * R/plot.varest.R (plotest): Fixed bug, in for loop names[i] in [ used. 2008-11-27 Dr. Bernhard Pfaff * book-ex/Rcode-4-2.R: Fixed bug in example: error[-c(1, 100)], formerly error[-c(99, 100)] * R/VAR.R ("VAR"): In lm object attribute "intercept" set to 1 if type = "const" or type = "both" to fix an improper F-test calculation. 2008-06-30 Dr. Bernhard Pfaff * inst/CITATION: Added citation file. * inst/book-ex: Added Rcode examples pf second edition. * inst/doc/vars.Rnw: Added vignette to package (JSS-article): 2008-05-08 Dr. Bernhard Pfaff * R/internal.R (".boot"): eval.parent() inserted for retrieving objects with class attributes 'varest' or 'svarest'. 2008-02-12 Dr. Bernhard Pfaff * R/plot.varirf.R ("plot.varirf"): Enhanced plot-method for varirf. 2008-02-06 Dr. Bernhard Pfaff * R/logLik.svecest.R: Added logLik-method for objects of class "svecest". * R/summary.svecest.R ("summary.svecest"): Summary-method added for objects of class "svecest". * R/print.svecsum.R ("print.svecsum"): Print-method for objects of class "svecsum" added. 2008-02-05 Dr. Bernhard Pfaff * R/print.svarest.R ("print.svarest"): Changed header appearance of print-method to print.svarsum. * R/SVAR.R ("SVAR"): Included stop() if free parameters are in Amat and Bmat for AB-models. * R/print.varest.R ("print.varest"): Changed header appearance of print-method to print.svarest. * R/print.svecest.R ("print.svecest"): Changed header appearance of print-method to print.svarest. * R/logLik.svarest.R (logLik.svarest): Replaced ML-estimator for Sigma with unbiased estimator. * R/logLik.varest.R (logLik.varest): Replaced ML-estimator for Sigma with unbiased estimator. * R/SVAR.R (logLc): Normalization of sign for Amat and Bmat implemented, if applicable. 2008-02-04 Dr. Bernhard Pfaff * R/SVAR.R ("SVAR"): Changed to same Amat/Bmat arguments for method "scoring" and "logLik". The latter is now termed "direct". * R/summary.svarsum.R ("summary.svarest"): Summary-method for objects with class attribute 'svarest' included. * R/print.svarsum.R ("print.svarsum"): Print-method added for objects with class attribute 'svarsum'. 2008-01-31 Dr. Bernhard Pfaff * R/print.varest.R ("print.varest"): Altered print-method for objects of class 'varest'. * R/summary.varest.R ("summary.varest"): Enhanced summary.varest-method. * R/print.varsum.R: Enhanced print.varsum-method. 2007-01-30 Dr. Bernhard Pfaff * R/stability.R ("stability"): Changed default test to "OLS-CUSUM". * R/A.R (A): Function 'A' is deprecated and a synonym is 'Acoef'. * R/arch.R (arch): Function 'arch' is deprecated and a synonym is 'arch.test'. * R/B.R (B): Function 'B' is deprecated and a synonym is 'Bcoef'. * R/logLik.svarest.R (logLik.svarest): Bug fixed in computation of log-Likelihood. * R/normality.R (normality): Function 'normality' is deprecated and a synonym is 'normality.test'. * R/plot.varest.R ("plot.varest"): Adjusted plot (same x-axis for diagram of fit and residuals and dropped 'main.resid'). * R/serial.R (serial): Function 'serial' is deprecated and a synonym is 'serial.test'. * inst/doc/: Removed temporarily vignette from package. * man/Canada.Rd: Changed data.frame 'Canada' to 'mts' object. 2007-11-08 Dr. Bernhard Pfaff * doc/vars.Rnw: Dropped void argument 'ctable' in R chunk. 2007-10-31 Dr. Bernhard Pfaff * R/irf.vec2var.R ("irf.vec2var"): Inserted names for Lower and Upper. * R/irf.svecest.R: Inserted names for Lower and Upper. * R/internal.R (.bootirfvec2var): Assigning list elements of Lower and Upper in loop. * R/internal.R (.bootirfsvec): Assigning list elements of Lower and Upper in loop. 2007-10-30 Dr. Bernhard Pfaff * R/internal.R (.bootsvec): Adjusted for new argument 'ecdet' in ca.jo(). * R/internal.R (.bootirfsvec): Adjusted for new argument 'ecdet' in ca.jo(). * R/internal.R (.bootirfvec2var): Adjusted for new argument 'ecdet' in ca.jo(). * R/predict.vec2var.R ("predict.vec2var"): Adjusted for new argument 'ecdet' in ca.jo(). * man/vec2var.Rd (examples): Adjusted for new argument 'ecdet' in ca.jo(). 2007-10-29 Dr. Bernhard Pfaff * R/vec2var.R: Adjusted for new argument 'ecdet' in ca.jo(). 2007-10-10 Dr. Bernhard Pfaff * R/SVEC.R ("SVEC"): Changed Null(t(alpha)) for r = 1. 2007-08-21 Dr. Bernhard Pfaff * R/restrict.R ("restrict"): Fixed buglet: if all rhs-variables are significant. * R/causality.R ("causality"): Fixed buglet: duplication of y.names for matching set to p. * R/SVAR.R ("SVAR"): Fixed buglet: In call to SVAR2 max.iter = max.iter. 2007-08-17 Dr. Bernhard Pfaff * R/restrict.R ("restrict"): Inserted stop() in ser() if no significant regressors are remaining. 2007-08-15 Dr. Bernhard Pfaff * R/SVAR2.R: Deprecated, SVAR estimation is now included in function SVAR as default. * R/SVAR.R ("SVAR"): Included argument estmethod = c("scoring", "logLik") and the non-overlapping arguments formerly SVAR2. The function SVAR is now a wrapper to the formerly SVAR and SVAR2 functions, which are renamed to .SVAR1 and .SVAR2, respectively. 2007-08-14 Dr. Bernhard Pfaff * R/arch.R ("arch"): Argument multivariate.only = TRUE inserted. * R/normality.R ("normality"): Argument multivariate.only = TRUE inserted. * R/serial.R: Argument type = c("PT.asymptotic", "PT.adjusted", "BG", "ES") inserted. 2007-08-09 Dr. Bernhard Pfaff * R/plot.varirf.R ("plot.varirf"): Plot method for objects of class varirf enhanced. * R/plot.varstabil.R ("plot.varstabil"): Plot method for objects of class varstabil enhanced. * R/fanchart.R ("fanchart"): Function enhancement for single variable plotting and customisation of graphs. 2007-08-08 Dr. Bernhard Pfaff * R/plot.varfevd.R: Plot method for objects of class varfevd enhanced. * R/plot.varest.R: Plot method for objects of class varest enhanced. * R/plot.vec2var.R: Plot method for objects of class vec2var enhanced. * R/plot.varcheck.R ("plot.varcheck"): Plot method for objects of class varcheck enhanced. 2007-08-07 Dr. Bernhard Pfaff * R/plot.varprd.R (plot.varprd): Plot method for objects of class varprd enhanced. 2007-08-06 Dr. Bernhard Pfaff * R/predict.varest.R ("predict.varest"): Season > n.ahead: coerced seasonal to as.matrix. 2007-07-26 Dr. Bernhard Pfaff * man/plot.Rd: Summarised documentation for various plot methods in one file. 2007-07-25 Dr. Bernhard Pfaff * R/VAR.R ("VAR"): Included automatic lag length selection by an information criteria. 2007-07-24 Dr. Bernhard Pfaff * R/fanchart.R: Adjusted for exogenous variables. * R/predict.varest.R: Included list element exo.fcst. * R/predict.vec2var.R ("predict.vec2var"): Included list element exo.fcst. * R/logLik.svarest.R (logLik.svarest): Log-Likelihood-method for SVAR models included. * R/logLik.varest.R (logLik.varest): Log-Likelihood-method for VAR models included. * R/logLik.vec2var.R (logLik.vec2var): Log-Likelihood-method for level VECM models included. 2007-07-23 Dr. Bernhard Pfaff * R/VARselect.R: Included deterministic variables in penalty term. * R/VARselect.R ("VARselect"): Started trend at lag.max + 1. * R/predict.varest.R: Changed start value of trend for type = trend. * R/predict.varest.R ("predict.varest"): Fixed for season only. * R/predict.varest.R ("predict.varest"): Started trend at nrow(Z) + 1 + p. * R/predict.varest.R: Fixed for exogenous variables, only. * R/VAR.R: Started trend at p + 1. 2007-07-20 Dr. Bernhard Pfaff * R/internal.R: Replaced x$resid and VAR$resid with resid(x) and resid(VAR), respectively. * R/VAR.R ("VAR"): Removed resid from 'varest'. * R/restrict.R: Removed x$resid. * R/internal.R (".boot"): Pre-allocated elements of 'BOOT'. 2007-07-19 Dr. Bernhard Pfaff * R/internal.R (".boot"): Adjusted for seasonal and exoegnous variables. * R/VARselect.R ("VARselect"): Adjusted for seasonal and exogenous variables. * R/arch.R ("arch"): Replaced x$resid with resid(x). * R/BQ.R ("BQ"): Replaced x$resid with resid(x). * R/causality.R ("causality"): Replaced x$resid with resid(x). * R/residuals.vec2var.R ("residuals.vec2var"): residuals-method for vec2var. * R/fitted.vec2var.R ("fitted.vec2var"): fitted-method for vec2var. * R/plot.vec2var.R (plot.vec2var): plot-method for vec2var. * R/plot.varest.R ("plot.varest"): Use of methods resid and fitted. * R/Psi.varest.R ("Psi.varest"): Replaced x$resid with resid(x). * R/Psi.vec2var.R ("Psi.vec2var"): Replaced x$resid with resid(x). * R/serial.R ("serial"): Replaced x$resid with resid(x). * R/SVAR2.R ("SVAR2"): Replaced x$resid with resid(x). * R/SVAR.R ("SVAR"): Replaced x$resid with resid(x). 2007-07-18 Dr. Bernhard Pfaff * R/VAR.R: Inserted centered seasonal dummy variable and exogenous variables in function's argument. * R/internal.R: Replaced "Chi^2" with "Chi-squared" in names(STATISTIC) * R/coef.varest.R ("coef.varest"): Changed coef-method such that a list of summary coeffecients is returned. * R/A.R ("A"): Adjusted for seasonal dummies and exogenous variables. * R/plot.varprd.R ("plot.varprd"): Changed color "green" to "blue" for better visibility. * R/predict.varest.R ("predict.varest"): Adjusted predict method for centered seasonal dummies and exogenous variables. * R/plot.varcheck.R ("plot.varcheck"): on.exit(par(op)) and par(ask = TRUE) included. * R/plot.varest.R ("plot.varest"): on.exit(par(op)) and par(ask = TRUE) included. * R/plot.varfevd.R ("plot.varfevd"): on.exit(par(op)) and par(ask = TRUE) included. * R/plot.varirf.R ("plot.varirf"): on.exit(par(op)) and par(ask = TRUE) included. * R/plot.varprd.R ("plot.varprd"): on.exit(par(op)) and par(ask = TRUE) included. * R/plot.varstabil.R ("plot.varstabil"): on.exit(par(op)) and par(ask = TRUE) included. * R/fanchart.R ("fanchart"): Changed from heat to gray color palette and par(ask = TRUE) and on.exit(par(op)) included. * R/causality.R ("causality"): Changed "Chi^2" to "Chi-squared". Adjusted for seasonal and exogenous variables. 2007-07-17 Dr. Bernhard Pfaff * NAMESPACE: Removed predict. Included fitted.varest, coef.varest and residuals.varest as S3-methods. * R/fitted.varest.R ("fitted.varest"): fitted-method applied to varresult list element implemented. * R/coef.varest.R ("coef.varest"): coefficient-method applied to varresult list element implemented. * R/residuals.varest.R ("residuals.varest"): residuals-method applied to varresult list element implemented. 2007-07-13 Dr. Bernhard Pfaff * R/plot.varirf.R ("plot.varirf"): x$model for SVECM included in if-else clause. * R/predict.R: Removed predict-function. * R/predict.varest.R ("predict.varest"): Changed argument 'x' to 'object'. * R/predict.vec2var.R ("predict.vec2var"): Changed argument 'x' to 'object'. * man/predict.Rd: Replaced argument 'x' with 'object'. * man/irf.Rd (cumulative): Fixed default value to FALSE. 2007-06-20 Dr. Bernhard Pfaff * R/causality.R ("causality"): Changed wording in METHOD for Granger causality. * R/plot.***.R and fanchart(): op <- par(no.readonly = TRUE) and par(op) inserted 2007-06-12 Dr. Bernhard Pfaff * man/plot.varprd.Rd: \encoding{latin1} inserted. * man/roots.Rd: \encoding{latin1} inserted. 2007-05-21 Dr. Bernhard Pfaff * R/irf.vec2var.R: Bootstrapped CI implemented. * R/irf.svecest.R: Bootstrapped CI implemented. * R/vec2var.R: Use of z@season for obtaining seasonality, instead of call. * R/SVEC.R ("SVEC"): 'LRorig', 'SRorig' and 'r' included in returned list object. * R/Phi.svecest.R ("Phi.svecest"): Changed call to vec2var: varlevel <- vec2var(x$var, r = x$r) * R/predict.vec2var.R: if-clause changed in season and dumvar checking. 2007-05-18 Dr. Bernhard Pfaff * R/VAR.R: Checking for correctness of y inserted. * R/Phi.svecest.R: Phi-method for svecest implemented. * R/fevd.svecest.R: FEVD method for svecest implemented. * R/irf.svecest.R: IRF method for svecest implemented (no boot). 2007-05-16 Dr. Bernhard Pfaff * R/SVEC.R: Bootstrap standard errors included. * R/print.svecest.R: Print-method adjusted. * R/print.svarest.R: Modified for conditional print. 2007-05-11 Dr. Bernhard Pfaff * R/SVAR2.R ("SVAR2"): SVAR estimation with scoring algorithm. 2007-04-26 Dr. Bernhard Pfaff * doc/vars.Rnw (section{VECM to VAR}): Vignette has been amended for (vec2var()). 2007-03-29 Dr. Bernhard Pfaff * man/fanchart.Rd: Adjusted for 'vec2var' and links. * man/predict.Rd: Adjusted for 'vec2var' and links. * man/vec2var.Rd: Links inserted. * man/arch.Rd: Links adjusted. * man/serial.Rd: Links adjusted. * man/normality.Rd: Links adjusted. * man/VAR.Rd: Links adjusted. 2007-03-26 Dr. Bernhard Pfaff * R/vec2var.R: Function for converting VECM (objects belonging to formal class ca.jo) to VAR inserted. Added to NAMESPACE. * R/Phi.vec2var.R: Method 'Phi' for 'vec2var' objects. * R/Psi.vec2var.R: Method 'Psi' for 'vec2var' objects. * R/irf.vec2var.R: Method 'irf' for 'vec2var' objects (no boot). Internal functions .boot and .irf modified. * R/fevd.vec2var.R: Method 'fevd' for 'vec2var' objects. Internal functions .fecovvec2var inserted. * R/Phi.varest.R: Fixed for p > 2. * R/normality.R: Included 'vec2var' objects. * R/serial.R: Included 'vec2var' objects. DF calculation adjusted in '.pt.multi'. * R/arch.R: Included 'vec2var' objects. * R/predict.R: Predict method included. * R/predict.vec2var.R: Method 'predict' for 'vec2var' objects. 2007-03-07 Dr. Bernhard Pfaff * R/causality.R ("causality"): Object temp corrected for proper calculation if p > 2. 2006-12-29 Dr. Bernhard Pfaff * R/internal.R: .jb.multi: rep(3, K) instead of rep(3, 4). 2006-12-06 Dr. Bernhard Pfaff * man/SVAR.Rd: Typo fixed in \value{} section. * R/SVAR.R (svarest): Inserted list object LRIM = NULL (used by Blanchard-Quah function BQ). * man/SVAR.Rd: Inserted description of list element LRIM. * R/BQ.R: New function for Blanchard-Quah type SVAR. * man/BQ.Rd: Documentation for BQ() created. * R/print.svarest.R: Adjusted the print-method for Blanchard-Quah. * NAMESPACE: Inserted BQ * R/SVAR.R (sigma): Used degrees of freedom instead of obs. 2006-11-02 Dr. Bernhard Pfaff * R/roots.R: If-clause inserted for checking p > 1 2006-09-13 Dr. Bernhard Pfaff * inst/doc/vars.Rnw: Vignette created. * DESCRIPTION (Package): Suggests field added (xtable) for vignette processing. * R/predict.varest.R: List element model added to 'result' for fanchart function. 2006-08-31 Dr. Bernhard Pfaff * R/fanchart.R: Function for fan chart added (needs object of class 'varprd'). * man/fanchart.Rd: Help file for function 'fanchart()' added. * NAMESPACE: Entry for function 'fanchart()' added. 2006-08-29 Dr. Bernhard Pfaff * R/plot.varcheck.R: xlab = "" argument inserted in hist(). 2006-08-27 Dr. Bernhard Pfaff * man/roots.Rd: Rd-file for new function 'roots' added. * R/roots.R: Function for calculating eigenvalues added. * NAMESPACE: Function 'root' added to 'NAMESPACE'. 2006-07-27 Dr. Bernhard Pfaff * R/SVAR.R: Function added for SVAR estimation (A-, B-, and AB-model); returns a list with class attribute 'svarest'. * R/Psi.varest.R: Method 'Psi' for 'varest' objects. * R/Psi.R: Defined formerly function 'Psi' as S3-method. * R/plot.varirf.R: Adapted plot method for objects of class 'svarest'. * R/irf.varest.R: Method 'irf' for 'varest' objects. * R/irf.svarest.R: Method 'irf' for 'svarest' objects. * R/irf.R: Defined formerly function 'irf' as S3-method. * R/fevd.varest.R: Method 'fevd' for 'varest' objects. * R/fevd.svarest.R: Method 'fevd' for 'svarest' objects. * R/fevd.R: Defined formerly function 'fevd' as S3-method. * R/Phi.varest.R: Method 'Phi' for 'varest' objects. * R/Phi.svarest.R: Method 'Phi' for 'svarest' objects. * R/Phi.R ("Phi"): Defined formerly function 'Phi' as S3-method. * man/SVAR.Rd: Rd-file for function 'SVAR' created. * man/fevd.Rd: \alias for 'fevd.varest' and 'fevd.svarest' included and \arguments and \usage sections adjusted. * man/Phi.Rd: \alias for 'Phi.varest' and 'Phi.svarest' included and \arguments and \usage sections adjusted. * man/irf.Rd: \alias for 'irf.varest' and 'irf.svarest' included and \arguments and \usage sections adjusted. * man/Psi.Rd: \alias for 'Psi.varest' included and \arguments and \usage sections adjusted. 2006-07-26 Dr. Bernhard Pfaff * fevd.R: Changed program line: Psi <- Psi(x)to Psi <- Psi(x, nstep = n.ahead)