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Sovereign: State-Dependent Empirical Analysis

Version 1.2.1

(2021-12-30) - Bug fixes - removed as.vector() call in solve_b.R - change is.na to anyNA in regimes()

Version 1.2.0

(2021-07-23)

• Major updates
  • VARs may now be estimated as Proxy-SVARs
  • IRF functions now support
    • Choice of bootstrapping techniques
      • standard residual resampling
      • Wild bootstrapping
    • Choice of structural shocks
      • no structural restrictions,
      • short-term restrictions (via Cholesky decomposition),
      • instrumental variable estimation
        
      • combination of instrument variable and short-term restrictions
        
    • Parallel processing for greater computational efficiency in computing bootstrapped confidence intervals
• Minor updates
  • IRF plots use darker blue for CI
  • Analysis function wrappers implemented for IRFs, FEVDs, and HDs
  • Updated model documentation with academic references and corrected minor errors
• Bug fixes
  • plot_irf() plots all targets by default
  • test-threvhold_var.R changed to test-regime_var.R
  • Fixed IRF results format listed in documentation

Version 1.1.0

(2021-06-01)

• Major updates
  • Include COVID shock correction a la Lenza and Primiceri (2020)
  • Include historical decomposition of VAR shocks
• Minor updates
  • Create object classes for LP and VAR output
    
  • n.lag no longer requires a ‘date’ column
  • Specify structural assumptions in IRFs
    
  • Clarify model specification of RVAR
• Bug fixes
  • Convert errorCondition() to stop()

Version 1.0.0

(2021-04-02)

• Initial release

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.