mfbvar: Mixed-Frequency Bayesian VAR Models
Functions and tools for estimation of mixed-frequency Bayesian vector autoregressive (VAR) models. The package implements a state space-based VAR model that handles mixed frequencies of the data as proposed by Schorfheide and Song (2015) <doi:10.1080/07350015.2014.954707>, and extensions thereof developed by Ankargren, Unosson and Yang (2020) <doi:10.1515/jtse-2018-0034>, Ankargren and Joneus (2019) <arXiv:1912.02231>, and Ankargren and Joneus (2020) <doi:10.1016/j.ecosta.2020.05.007>. The models are estimated using Markov Chain Monte Carlo to numerically approximate the posterior distribution. Prior distributions that can be used include normal-inverse Wishart and normal-diffuse priors as well as steady-state priors. Stochastic volatility can be handled by common or factor stochastic volatility models.
| Version: | 0.5.6 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 0.12.7), ggplot2 (≥ 3.3.0), methods, lubridate, GIGrvg, stochvol (≥ 2.0.3), RcppParallel, dplyr, magrittr, tibble, zoo |
| LinkingTo: | Rcpp, RcppArmadillo, RcppProgress, stochvol (≥ 2.0.3), RcppParallel |
| Suggests: | testthat, covr, knitr, ggridges, alfred, factorstochvol |
| Published: | 2021-02-10 |
| Author: | Sebastian Ankargren
 [cre, aut],
Yukai Yang [aut],
Gregor Kastner
[ctb] |
| Maintainer: | Sebastian Ankargren <sebastian.ankargren at statistics.uu.se> |
| BugReports: | https://github.com/ankargren/mfbvar/issues |
| License: | GPL-3 |
| URL: | https://github.com/ankargren/mfbvar |
| NeedsCompilation: | yes |
| SystemRequirements: | GNU make |
| Citation: | mfbvar citation info |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | mfbvar results |
Downloads:
| Reference manual: | mfbvar.pdf |
| Vignettes: |
Bayesian Mixed-Frequency VARs |
| Package source: | mfbvar_0.5.6.tar.gz |
| Windows binaries: | r-devel: mfbvar_0.5.6.zip, r-devel-UCRT: mfbvar_0.5.6.zip, r-release: mfbvar_0.5.6.zip, r-oldrel: mfbvar_0.5.6.zip |
| macOS binaries: | r-release (arm64): mfbvar_0.5.6.tgz, r-release (x86_64): mfbvar_0.5.6.tgz, r-oldrel: mfbvar_0.5.6.tgz |
| Old sources: | mfbvar archive |
Linking:
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