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 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 |
| 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: bvartools_0.0.1.zip, r-release: bvartools_0.0.1.zip, r-oldrel: bvartools_0.0.1.zip |
| OS X binaries: | r-release: bvartools_0.0.1.tgz, r-oldrel: bvartools_0.0.1.tgz |
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