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BVAR (version 0.2.2)

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 several methods for assessing results.

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Version

Install

install.packages('BVAR')

Monthly Downloads

1,033

Version

0.2.2

License

GPL-3 | file LICENSE

Issues

20

Pull Requests

1

Stars

55

Forks

21

Maintainer

Nikolas Kuschnig

Last Published

February 20th, 2020

Functions in BVAR (0.2.2)

coef.bvar

Coefficient and VCOV methods for Bayesian VARs
density.bvar

Density methods for Bayesian VARs
predict.bvar

Predict method for Bayesian VARs
fitted.bvar

Fitted and residual methods for Bayesian VARs
summary.bvar

Summary method for Bayesian VARs
bv_plot_trace

Hyperparameter trace & density plot
companion.bvar

Retrieve companion matrix from a Bayesian VAR
logLik.bvar

Log-Likelihood method for Bayesian VARs
plot.bvar

Plotting method for Bayesian VARs
irf.bvar

Impulse response and forecast error methods for Bayesian VARs
plot.bvar_irf

Plotting method for Bayesian VAR impulse responses
fred_qd

FRED-QD: Quarterly Database for Macroeconomic Research
plot.bvar_fcast

Plotting method for Bayesian VAR forecasts
as.mcmc.bvar

Method for coda Markov chain Monte Carlo objects
bv_dummy

Dummy prior settings
bv_minnesota

Minnesota prior settings
BVAR-package

BVAR
bv_priors

Prior settings
bv_fcast

Forecast settings
bv_irf

Impulse response settings
bvar

Hierarchical Bayesian Vector Autoregression
bv_metropolis

Metropolis-Hastings settings