Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.
| Version: | 2.0.2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 1.0.0) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr |
| Published: | 2020-01-19 |
| Author: | Paul Richardson |
| Maintainer: | Paul Richardson <p.richardson.54391 at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| Language: | en-US |
| Materials: | NEWS |
| CRAN checks: | BHSBVAR results |
| Reference manual: | BHSBVAR.pdf |
| Vignettes: |
Structural Bayesian Vector Autoregression Models |
| Package source: | BHSBVAR_2.0.2.tar.gz |
| Windows binaries: | r-devel: BHSBVAR_2.0.2.zip, r-release: BHSBVAR_2.0.2.zip, r-oldrel: BHSBVAR_2.0.2.zip |
| macOS binaries: | r-release: BHSBVAR_2.0.2.tgz, r-oldrel: BHSBVAR_2.0.2.tgz |
| Old sources: | BHSBVAR archive |
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