[aut, cre],
Lukas Vashold [aut],
Michael McCracken [dtc],
Serena Ng [dtc]Estimation of hierarchical Bayesian vector autoregressive models. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.3.0) |
| Imports: | mvtnorm, stats, graphics, utils, grDevices |
| Suggests: | coda, vars, tinytest |
| Published: | 2020-05-05 |
| Author: | Nikolas Kuschnig
[aut, cre],
Lukas Vashold [aut],
Michael McCracken [dtc],
Serena Ng [dtc] |
| Maintainer: | Nikolas Kuschnig <nikolas.kuschnig at wu.ac.at> |
| BugReports: | https://github.com/nk027/bvar/issues |
| License: | GPL-3 | file LICENSE |
| URL: | https://github.com/nk027/bvar |
| NeedsCompilation: | no |
| Citation: | BVAR citation info |
| Materials: | NEWS |
| In views: | Bayesian, TimeSeries |
| CRAN checks: | BVAR results |
| Reference manual: | BVAR.pdf |
| Vignettes: |
BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R |
| Package source: | BVAR_1.0.0.tar.gz |
| Windows binaries: | r-devel: BVAR_1.0.0.zip, r-release: BVAR_1.0.0.zip, r-oldrel: BVAR_1.0.0.zip |
| macOS binaries: | r-release: BVAR_1.0.0.tgz, r-oldrel: BVAR_1.0.0.tgz |
| Old sources: | BVAR archive |
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