Vector Autoregressions and Macroeconomic Analysis in R

After pulling data directly from FRED and creating variables for our dataset, we estimate a model of Mexican capital flows. Granger Causality tests, orthogonalized Impulse Response Functions, and Forecast Error Variance Decompositions show the impact of income and monetary variables on these flows. Additional code shows how to plot and customize IRFs.
The R code is available at github.com/heg...