Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

BVAR

Hierarchical Bayesian Vector Autoregression

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.

Functions (23)

BVAR-package

BVAR: Hierarchical Bayesian vector autoregression

bv_dummy

Dummy prior settings

bv_fcast

Forecast settings

bv_irf

Impulse response settings and identification

bv_metropolis

Metropolis-Hastings settings

bv_minnesota

Minnesota prior settings

bv_priors

Prior settings

bvar

Hierarchical Bayesian vector autoregression

coda

Methods for coda Markov chain Monte Carlo objects

coef.bvar

Coefficient and VCOV methods for Bayesian VARs

companion

Retrieve companion matrix from a Bayesian VAR

density.bvar

Density methods for Bayesian VARs

fitted.bvar

Fitted and residual methods for Bayesian VARs

fred_qd

FRED-MD and FRED-QD: Databases for Macroeconomic Research

fred_transform

FRED transformation and subset helper

irf.bvar

Impulse response and forecast error methods for Bayesian VARs

logLik.bvar

Log-Likelihood method for Bayesian VARs

par_bvar

Parallel hierarchical Bayesian vector autoregression

plot.bvar

Plotting method for Bayesian VARs

plot.bvar_fcast

Plotting method for Bayesian VAR predictions

plot.bvar_irf

Plotting method for Bayesian VAR impulse responses

predict.bvar

Predict method for Bayesian VARs

summary.bvar

Summary method for Bayesian VARs

BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.1

GPL-3 | file LICENSE

Authors

Nikolas Kuschnig [aut, cre] (<https://orcid.org/0000-0002-6642-2543>), Lukas Vashold [aut] (<https://orcid.org/0000-0002-3562-3414>), Michael McCracken [dtc], Serena Ng [dtc]

Initial release

2020-09-26

BVAR

Functions (23)

BVAR

We don't support your browser anymore