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BVAR: Hierarchical Bayesian Vector Autoregression

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 ORCID iD [aut, cre], Lukas Vashold ORCID iD [aut], Nirai Tomass [ctb], Michael McCracken [dtc], Serena Ng [dtc]
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

Documentation:

Reference manual: BVAR.pdf
Vignettes: BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R

Downloads:

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 dependencies:

Reverse depends: BVARverse

Linking:

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.