BVAR: Hierarchical Bayesian Vector Autoregression

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Allows for the computation of impulse responses and forecasts and provides several methods for assessing results.

Version: 0.2.1
Depends: R (≥ 3.3.0)
Imports: mvtnorm, stats, graphics, utils
Suggests: coda, vars
Published: 2019-09-21
Author: Nikolas Kuschnig [aut, cre], Lukas Vashold [aut], Michael McCracken [dtc] (author of the FRED-QD dataset)
Maintainer: Nikolas Kuschnig <nikolas.kuschnig at>
License: GPL-3 | file LICENSE
NeedsCompilation: no
Citation: BVAR citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: BVAR results


Reference manual: BVAR.pdf
Package source: BVAR_0.2.1.tar.gz
Windows binaries: r-devel:, r-devel-gcc8:, r-release:, r-oldrel:
OS X binaries: r-release: BVAR_0.2.1.tgz, r-oldrel: BVAR_0.2.1.tgz
Old sources: BVAR archive


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