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bvarsv

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

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.

Functions (6)

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

helpers

Helper Functions to Access BVAR Forecast Distributions and Parameter Draws

impulse.responses

Compute Impulse Response Function from a Fitted Model

sim.var1.sv.tvp

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

usmacro

US Macroeconomic Time Series

bvarsv

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

v1.1
GPL (>= 2)
Authors
Fabian Krueger
Initial release
2015-10-29

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