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BVAR (version 0.1.5)

Hierarchical Bayesian Vector Autoregression

Description

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) . Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.

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Install

install.packages('BVAR')

Monthly Downloads

1,033

Version

0.1.5

License

GPL-3

Issues

20

Pull Requests

1

Stars

55

Forks

21

Maintainer

Nikolas Kuschnig

Last Published

July 9th, 2019

Functions in BVAR (0.1.5)

fred_qd

FRED-QD: Quarterly Database for Macroeconomic Research
bv_mn

Minnesota prior settings
bv_priors

Prior settings
plot.bvar_irf

Impulse response plot
plot.bvar_fcast

Forecast plot
bvar

Hierarchical Bayesian Vector Autoregression
bv_irf

Impulse response settings
bv_mh

Metropolis-Hastings settings
bv_plot_trace

Hyperparameter trace & density plot
bv_fcast

Forecast settings
print.bvar

BVAR print methods
bv_dummy

Dummy prior settings
plot.bvar

Hyperparameter plot