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This package is a stab implementing Structural scenario analysis with SVARs by Juan Antolín-Díaz, Ivan Petrella and Juan F. Rubio-Ramírez, JME (2021) in R
It depends on the output of the package bsvarSIGNs although it could be adapted to the output of many other packages by changing the function get_mats.R.
See the application code APRScenario.Rmd.
Version 0.0.4.0 fixes a critical bug in the
impulse-response recursion of
big_b_and_M()/mat_forc() (results at forecast
horizons of 3+ periods were incorrect in earlier versions and should be
recomputed; see NEWS.md) and adds cross-platform parallelization over
posterior draws (n_cores argument of
scenarios()/big_b_and_M(); works on Windows
via PSOCK clusters and on Unix/macOS via forking).
devtools::install_github("giannilmbd/APRScenario", ref = "master")See also the forked bsvarSIGNs with parallelized draws of the rotation matrix
devtools::install_github("giannilmbd/bsvarSIGNs", ref = "master")You can also download the tar.gz package from the tar-package branch and install in in R with
install.packages("<path>APRScenario_XXXX.tar.gz", repos = NULL, type = "source");For XXXX see the latest version Use APRScenario.Rmd as a template for the application.
Feedbacks are welcome.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.