bvartools: Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2007, ISBN: 9783540262398).

Version: 0.0.1
Depends: R (≥ 3.3.0)
Imports: coda, graphics, Rcpp (≥ 0.12.14), stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2019-06-11
Author: Franz X. Mohr [aut, cre]
Maintainer: Franz X. Mohr <bvartools at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: bvartools citation info
CRAN checks: bvartools results


Reference manual: bvartools.pdf
Vignettes: Bayesian Structural Vector Autoregression
Introduction to bvartools
Bayesian Error Correction Models with Priors on the Cointegration Space
Stochastic Search Variable Selection
Package source: bvartools_0.0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: bvartools_0.0.1.tgz, r-oldrel: bvartools_0.0.1.tgz


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