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 wu.ac.at> |
| BugReports: | https://github.com/nk027/bvar/issues |
| License: | GPL-3 | file LICENSE |
| URL: | https://github.com/nk027/bvar |
| 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: BVAR_0.2.1.zip, r-devel-gcc8: BVAR_0.2.1.zip, r-release: BVAR_0.2.1.zip, r-oldrel: BVAR_0.2.1.zip |
| 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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