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Rcpp
to address an issue
with Rcpp::stop
.stochvol_ocsn2007
can handle multi-column input.stochvol_ksc1998
can handle multi-column input.post_gamma_state_variance
for posterior
simulation of constant error variances of the state equation.post_normal_covar_tvp
for posterior simulation of
time varying, lower triangular covariance matrices.post_normal_covar_const
for posterior simulation
of constant, lower triangular covariance matrices.roxygen2
.kalman_dk
callable from C++.stoch_vol
to a wrapper for
stochvol_ksc1998
.stochvol_ksc1998
.stochvol_ocsn2007
.bvar
.|
in C++ sampling functions by
||
.bvar
and bvec
objects if Gibbs sampler fails..bvecalg
..bvecalg
and .bvectvpalg
with
the storing of posterior draws of beta.predict.bvar
, which could not handle only
VARX models with contemporaneous exogenous variables only.bvar
and
bvec
for visual inspection of posterior draws.bvaralg
and bvecalg
to make them
more stable for especially large output.draw_posterior
to a generic function and added
the corresponding methods for BVAR, BVEC and DFM input.irf
and fevd
to generic
functions.thin_posterior
methods were renamed to
thin
and are now methods of coda::thin
.irf
allows to specify the size of a
shock.ssvs_prior
concerning BVEC models.thin_posterior
to a generic function and added
methods for BVAR, BVEC and dynamic factor model input.add_prior
to a generic function and added
methods for BVAR, BVEC and dynamic factor model input.predict
requires to specify an object of class
ts
as input for argument exogen
.add_priors
methods.minnesota_prior
and for
add_prior
methods.Matrix
from “Imports”” in DESCRIPTION,
which caused a note in version 0.0.3.bvarpost
for posterior simulation of
BVAR models.bvecpost
for posterior simulation of
BVEC models.draw_posterior
for estimation of
multiple models.fevd
calculates FEVDs based on means of
posterior draws of FEVDs and not based on the means of the coefficient
draws.bvar
and summary.bvar
can deal
with inclusion parameters.add_priors
for easier construction of
prior matrices for multiple models.gen_var
and gen_vec
can produce multiple
models.predict.bvar
to lower
cases.post_normal
,
post_normal_sur
, post_coint_kls
and
post_coint_kls_sur
to lower case letters.ssvs
from
V_i
to v_i
.minnesota_prior
and added additional
functionaliy.gen_var
and gen_vec
.us_macrodata
.gen_vec
.inclusion_prior
for the calculation of
inclusion probability priors as used by bvs
and
ssvs
.summary
functions.bvec_to_bvar
.bvec_to_bvar
.kalman_dk
.irf
contains a new argument
keep_draws
.post_normal
,
post_normal_sur
, post_coint_kls
and
post_coint_kls_sur
.bvec
.loglik_normal
for the calculation of a
multivariate normal log-likelihood.ssvs
after the introduction of
function ssvs_prior
.ssvs_prior
for the calculation of prior matrices
for the SSVS algorithm.minnesota_prior
for the calculation of the
Minnesota prior.irf
.post_coint_kls_sur
the prior matrix g_i
can be time varying.bvar
and predict
also work only with
deterministic terms, i.e. p can be zero.post_coint_kls
and
post_coint_kls_sur
.predict
allows for p = 1.plot.bvarfevd
.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.