[cre, aut],
Yukai Yang [aut],
Gregor Kastner
[ctb]Estimation of mixed-frequency Bayesian vector autoregressive (VAR) models. The package implements a state space-based VAR model that handles mixed frequencies of the data. The model is estimated using Markov Chain Monte Carlo to numerically approximate the posterior distribution. Prior distributions that can be used include normal-inverse Wishart and normal-diffuse priors as well as steady-state priors. Stochastic volatility can be handled by common or factor stochastic volatility models.
| Version: | 0.5.4 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 0.12.7), ggplot2 (≥ 3.3.0), methods, lubridate, GIGrvg, stochvol (≥ 2.0.3), RcppParallel, dplyr, magrittr, tibble, zoo |
| LinkingTo: | Rcpp, RcppArmadillo, RcppProgress, stochvol (≥ 2.0.3), RcppParallel |
| Suggests: | testthat, covr, knitr, ggridges, alfred, factorstochvol |
| Published: | 2020-05-28 |
| Author: | Sebastian Ankargren
[cre, aut],
Yukai Yang [aut],
Gregor Kastner
[ctb] |
| Maintainer: | Sebastian Ankargren <sebastian.ankargren at statistics.uu.se> |
| BugReports: | https://github.com/ankargren/mfbvar/issues |
| License: | GPL-3 |
| URL: | https://github.com/ankargren/mfbvar |
| NeedsCompilation: | yes |
| SystemRequirements: | GNU make |
| Materials: | README NEWS |
| CRAN checks: | mfbvar results |
| Reference manual: | mfbvar.pdf |
| Vignettes: |
Bayesian Mixed-Frequency VARs |
| Package source: | mfbvar_0.5.4.tar.gz |
| Windows binaries: | r-devel: mfbvar_0.5.4.zip, r-release: mfbvar_0.5.4.zip, r-oldrel: mfbvar_0.5.4.zip |
| macOS binaries: | r-release: mfbvar_0.5.4.tgz, r-oldrel: mfbvar_0.5.4.tgz |
| Old sources: | mfbvar archive |
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