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point in time: 19 January 2024
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Latest revision as of 00:46, 14 March 2024
Bayesian Inference of Vector Autoregressive and Error Correction Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | bvartools |
Bayesian Inference of Vector Autoregressive and Error Correction Models |
Statements
8 January 2024
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Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).
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expanded from: GPL (≥ 2) (English)
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