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BGVAR: Bayesian Global Vector Autoregressions

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 <doi:10.18637/jss.v104.i09>.

Version: 2.5.8
Depends: R (≥ 3.5.0)
Imports: abind, bayesm, coda, GIGrvg, graphics, knitr, MASS, Matrix, methods, parallel, Rcpp (≥ 1.0.3), RcppParallel, readxl, stats, stochvol (≥ 3.0.3), utils, xts, zoo
LinkingTo: Rcpp, RcppArmadillo, RcppProgress, RcppParallel, stochvol, GIGrvg
Suggests: rmarkdown, testthat (≥ 2.1.0)
Published: 2024-09-30
DOI: 10.32614/CRAN.package.BGVAR
Author: Maximilian Boeck ORCID iD [aut, cre], Martin Feldkircher ORCID iD [aut], Florian Huber ORCID iD [aut], Darjus Hosszejni ORCID iD [ctb]
Maintainer: Maximilian Boeck <maximilian.boeck at fau.de>
BugReports: https://github.com/mboeck11/BGVAR/issues
License: GPL-3
URL: https://github.com/mboeck11/BGVAR
NeedsCompilation: yes
SystemRequirements: GNU make
Language: en-US
Citation: BGVAR citation info
Materials: README NEWS
In views: TimeSeries
CRAN checks: BGVAR results

Documentation:

Reference manual: BGVAR.pdf
Vignettes: BGVAR: Bayesian Global Vector Autoregression (source, R code)

Downloads:

Package source: BGVAR_2.5.8.tar.gz
Windows binaries: r-devel: BGVAR_2.5.8.zip, r-release: BGVAR_2.5.8.zip, r-oldrel: BGVAR_2.5.8.zip
macOS binaries: r-release (arm64): BGVAR_2.5.8.tgz, r-oldrel (arm64): BGVAR_2.5.8.tgz, r-release (x86_64): BGVAR_2.5.8.tgz, r-oldrel (x86_64): BGVAR_2.5.8.tgz
Old sources: BGVAR archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=BGVAR to link to this page.

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.