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bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2025) <doi:10.1016/j.ijforecast.2025.02.001>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.

Version: 0.1.6
Depends: R (≥ 3.5.0)
Imports: colorspace, factorstochvol (≥ 1.1.0), GIGrvg (≥ 0.7), graphics, MASS, mvtnorm, Rcpp (≥ 1.0.0), scales, stats, stochvol (≥ 3.0.3), utils
LinkingTo: factorstochvol, Rcpp, RcppArmadillo, RcppProgress, stochvol, lpSolveAPI
Suggests: coda, knitr, quarto, rmarkdown, testthat (≥ 3.0.0), lpSolveAPI, bsvarSIGNs
Published: 2026-01-28
DOI: 10.32614/CRAN.package.bayesianVARs
Author: Luis Gruber ORCID iD [cph, aut, cre], Stefan Haan [aut], Gregor Kastner ORCID iD [aut, ths]
Maintainer: Luis Gruber <Luis.Gruber at aau.at>
BugReports: https://github.com/luisgruber/bayesianVARs/issues
License: GPL (≥ 3)
URL: https://github.com/luisgruber/bayesianVARs, https://luisgruber.github.io/bayesianVARs/
NeedsCompilation: yes
Citation: bayesianVARs citation info
Materials: README, NEWS
In views: Bayesian, TimeSeries
CRAN checks: bayesianVARs results [issues need fixing before 2026-02-12]

Documentation:

Reference manual: bayesianVARs.html , bayesianVARs.pdf
Vignettes: Shrinkage Priors for Bayesian Vectorautoregressions featuring Stochastic Volatility Using the **R** Package **bayesianVARs** (source, R code)
Compute Impulse Response Functions to Structural Shocks using **bayesianVARs** (source, R code)
Scalability of bayesianVARs (source, R code)

Downloads:

Package source: bayesianVARs_0.1.6.tar.gz
Windows binaries: r-devel: bayesianVARs_0.1.6.zip, r-release: bayesianVARs_0.1.6.zip, r-oldrel: bayesianVARs_0.1.6.zip
macOS binaries: r-release (arm64): bayesianVARs_0.1.5.tgz, r-oldrel (arm64): bayesianVARs_0.1.5.tgz, r-release (x86_64): bayesianVARs_0.1.5.tgz, r-oldrel (x86_64): bayesianVARs_0.1.5.tgz
Old sources: bayesianVARs archive

Linking:

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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.