bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.

Version: 1.0
Imports: Rcpp (≥ 0.11.0)
LinkingTo: Rcpp, RcppArmadillo
Published: 2014-08-28
Author: Fabian Krueger
Maintainer: Fabian Krueger <Fabian.Krueger83 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: bvarsv results


Reference manual: bvarsv.pdf
Package source: bvarsv_1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: bvarsv_1.0.tgz, r-oldrel: bvarsv_1.0.tgz
OS X Mavericks binaries: r-release: bvarsv_1.0.tgz