BVAR (Q1354454): Difference between revisions
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| Property / Software Heritage ID: swh:1:snp:edb262d26be5ce206834e789b6db55b1530fc027 / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:edb262d26be5ce206834e789b6db55b1530fc027 / qualifier | |||||||||||||||
| Property / Software Heritage ID: swh:1:snp:edb262d26be5ce206834e789b6db55b1530fc027 / qualifier | |||||||||||||||
point in time: 15 March 2023
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Latest revision as of 23:46, 13 March 2024
Hierarchical Bayesian Vector Autoregression
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BVAR |
Hierarchical Bayesian Vector Autoregression |
Statements
16 February 2024
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Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. 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.
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