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VARsignR (version 0.1.3)

Sign Restrictions, Bayesian, Vector Autoregression Models

Description

Provides routines for identifying structural shocks in vector autoregressions (VARs) using sign restrictions.

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Install

install.packages('VARsignR')

Monthly Downloads

12

Version

0.1.3

License

GPL (>= 3)

Maintainer

Christian Danne

Last Published

December 21st, 2015

Functions in VARsignR (0.1.3)

VARsignR

Estimating VARs using sign restrictions
rwz.reject

Rubio-Ramirez et al's (2010) rejection method
rfbvar

Recursive BVAR with a flat Normal inverted-Wishart prior
uhlig.penalty

Uhlig's (2005) penalty function method
irfplot

Plotting impulse responses with error bands from VAR posterior draws
fp.target

Fry and Pagan's (2011) median target method
uhligdata

Monthly US Macroeconomic Time Series
fevdplot

Plotting variance decompositions with error bands from VAR posterior draws
uhlig.reject

Uhlig's (2005) rejection method