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bvarsv

R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (folder ``man'') for details.

  • First commit: August 18, 2014
  • Version 1.1: April 9, 2015
  • Update on November 17, 2015 (extended functionality for impulse responses and access to parameter draws)

The (stable version of the) package is on CRAN (https://cran.r-project.org/web/packages/bvarsv/index.html).

References

Primiceri, G E (2005): ``Time Varying Structural Vector Autoregressions and Monetary Policy'', Review of Economic Studies 72, 821-852.

Del Negro, M and G E Primiceri (2015): ``Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum'', Review of Economic Studies 82, 1342-1345.

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Version

Install

install.packages('bvarsv')

Monthly Downloads

588

Version

1.1

License

GPL (>= 2)

Maintainer

Fabian Krueger

Last Published

November 25th, 2015

Functions in bvarsv (1.1)

Example data sets

US Macroeconomic Time Series
helpers

Helper Functions to Access BVAR Forecast Distributions and Parameter Draws
sim.var1.sv.tvp

Simulate from a VAR(1) with Stochastic Volatility and Time-Varying Parameters
impulse.responses

Compute Impulse Response Function from a Fitted Model
bvar.sv.tvp

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
bvarsv-package

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters