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Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
Version: | 1.0.5 |
Depends: | R (≥ 3.3.0) |
Imports: | mvtnorm, stats, graphics, utils, grDevices |
Suggests: | coda, vars, tinytest |
Published: | 2024-02-16 |
DOI: | 10.32614/CRAN.package.BVAR |
Author: | Nikolas Kuschnig |
Maintainer: | Nikolas Kuschnig <nikolas.kuschnig at wu.ac.at> |
BugReports: | https://github.com/nk027/bvar/issues |
License: | GPL-3 | file LICENSE |
URL: | https://github.com/nk027/bvar |
NeedsCompilation: | no |
Citation: | BVAR citation info |
Materials: | README NEWS |
In views: | Bayesian, TimeSeries |
CRAN checks: | BVAR results |
Reference manual: | BVAR.pdf |
Vignettes: |
BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R |
Package source: | BVAR_1.0.5.tar.gz |
Windows binaries: | r-devel: BVAR_1.0.5.zip, r-release: BVAR_1.0.5.zip, r-oldrel: BVAR_1.0.5.zip |
macOS binaries: | r-release (arm64): BVAR_1.0.5.tgz, r-oldrel (arm64): BVAR_1.0.5.tgz, r-release (x86_64): BVAR_1.0.5.tgz, r-oldrel (x86_64): BVAR_1.0.5.tgz |
Old sources: | BVAR archive |
Reverse depends: | BVARverse |
Please use the canonical form https://CRAN.R-project.org/package=BVAR 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.