VAR Analysis – Germany (Quarterly Data)

This repository contains an R script for estimating a Vector Autoregression (VAR) model using German quarterly macroeconomic and fiscal data.

Methodology

• Structural VAR with Cholesky identification
• Quarterly frequency (ts object, frequency = 4)
• Lag length selected via AIC, BIC, HQIC, and FPE
• Constant term included

Variables (Cholesky order)

1. Government expenditure growth
2. Tax revenue growth
3. GDP growth
4. Inflation
5. Short-term interest rate (Euribor 3M)

Requirements

R packages:

• readr
• lubridate
• zoo
• vars
• ggplot2
• dplyr

Usage

1. Adjust the file path to the quarterly CSV data.
2. Run VAR_Rcode.R to estimate the model and generate outputs.

Notes

The script is fully reproducible and designed for academic use (e.g. bachelor thesis).