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bvars: Bayesian Forecasting with Large Vector Autoregressions

Provides fast and efficient procedures for Bayesian estimation and forecasting using state-of-the-art Vector Autoregressions. This package includes the model proposed by Chan (2020) <doi:10.1080/07350015.2018.1451336>, that is, a Bayesian Vector Autoregression with Minnesota priors and a flexible structure of the error term specification. The latter includes: conditional multivariate normal or Student’s t distributions, as well as homoskedastic or heteroskedastic specifications with a common volatility modelled by centred or non-centred Stochastic Volatility. Additionally, the package facilitates predictive analyses using density forecasting and forecast-error variance decompositions. All this is complemented by simple workflows, useful plots and summary functions, and comprehensive documentation. The 'bvars' package aligns with R packages 'bsvars' by Woźniak (2024) <doi:10.32614/CRAN.package.bsvars>, 'bsvarSIGNs' by Wang & Woźniak (2025) <doi:10.32614/CRAN.package.bsvarSIGNs>, and 'bpvars' by Woźniak (2025) <doi:10.32614/CRAN.package.bpvars> regarding objects, workflows, and code structure, and they constitute an integrated toolset.

Version: 1.0
Depends: R (≥ 4.1.0), RcppArmadillo, bsvars
Imports: generics, Rcpp (≥ 1.0.14), RcppProgress, RcppTN, R6
LinkingTo: Rcpp, RcppArmadillo, RcppProgress, RcppTN, bsvars
Published: 2026-06-08
DOI: 10.32614/CRAN.package.bvars
Author: Rui Liu ORCID iD [aut], Andrés Ramirez Hassan ORCID iD [aut], Tomasz Woźniak ORCID iD [aut, cre, cph]
Maintainer: Tomasz Woźniak <wozniak.tom at pm.me>
BugReports: https://github.com/bsvars/bvars/issues
License: GPL (≥ 3)
URL: https://bsvars.org/bvars/
NeedsCompilation: yes
Materials: README, NEWS
In views: TimeSeries
CRAN checks: bvars results

Documentation:

Reference manual: bvars.html , bvars.pdf

Downloads:

Package source: bvars_1.0.tar.gz
Windows binaries: r-devel: bvars_1.0.zip, r-release: bvars_1.0.zip, r-oldrel: bvars_1.0.zip
macOS binaries: r-release (arm64): bvars_1.0.tgz, r-oldrel (arm64): bvars_1.0.tgz, r-release (x86_64): bvars_1.0.tgz, r-oldrel (x86_64): bvars_1.0.tgz

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.