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varr

The varr R package is being developed to provide general utility functions for projects involving Vector Auto-Regressive models, with specifically the vars package.

Disclaimer: this package is in the early most stage of life. It hasn’t been thoroughly tested and can present several bugs. I don’t recommend using it for large-scale projects, yet.

Please report any problems in my email (below) or as a github issue. Thank you!

Author: Ricardo Semião e Castro ().

Introduction

Mainly, the functions retrieve results from vars objects, manipulate them with tidyverse, and plot commonly needed ggplot graphs, in the realm of IRF’s, FEVD’s, predict graphs, VAR series and residual analysis.

In the future, I intent to add functions for quick (not thorough) analysis and retrieval of trends, seasonality, and structural breaks, using common methods and statistical tests. Additionally, I want to expand the package to other VAR-like objects.

Installation

You can install the development version of varr from GitHub with:

# install.packages("devtools")
devtools::install_github("ricardo-semiao/varr")

Upcoming changes

  • Start using rlang and glue APIs wherever possible.
    • Specially in the “setup” suite, as in the vardiff package.
  • More thorough tests:
    • Specify hat errors to expect in expect_error calls.
    • Directly test for elements of the ggplots returned by functions.
    • More tests specifically for test_fun().
    • Add tests for “helper” and “setup” functions.
    • Rethink the test functions list scheme.
  • Rethink some naming conventions:
    • Change “args_…” to “…_args” in arguments names
    • Change “serie(s)” naming to “var(s)” or “col(s)”
    • Change names of internal faceting variables
  • Give more info in help pages:
    • Give hints on how to work with results.
    • Direct to used methods like “see: ?vars:::predict”.

Additional:

  • Add package data and custom examples
  • Solve some less important lintr notes.
  • Study importing whole rlang and ggplot2.

Additional information

This package: