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bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).

Version: 0.2.4
Depends: R (≥ 3.4.0), coda, Matrix
Imports: grDevices, graphics, methods, parallel, Rcpp (≥ 0.12.14), stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2024-01-08
DOI: 10.32614/CRAN.package.bvartools
Author: Franz X. Mohr [aut, cre] (0009-0003-8890-7781)
Maintainer: Franz X. Mohr <franz.x.mohr at outlook.com>
BugReports: https://github.com/franzmohr/bvartools/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/franzmohr/bvartools
NeedsCompilation: yes
Citation: bvartools citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: bvartools results

Documentation:

Reference manual: bvartools.pdf
Vignettes: Introduction to bvartools
Bayesian Error Correction Models with Priors on the Cointegration Space
Model comparison in bvartools
Stochastic Search Variable Selection in bvartools

Downloads:

Package source: bvartools_0.2.4.tar.gz
Windows binaries: r-devel: bvartools_0.2.4.zip, r-release: bvartools_0.2.4.zip, r-oldrel: bvartools_0.2.4.zip
macOS binaries: r-release (arm64): bvartools_0.2.4.tgz, r-oldrel (arm64): bvartools_0.2.4.tgz, r-release (x86_64): bvartools_0.2.4.tgz, r-oldrel (x86_64): bvartools_0.2.4.tgz
Old sources: bvartools archive

Reverse dependencies:

Reverse imports: FAVAR

Linking:

Please use the canonical form https://CRAN.R-project.org/package=bvartools 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.