bvartools (Q1354449): Difference between revisions

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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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+Franz X. Mohr
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+Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
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Revision as of 18:22, 27 February 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

swMATH work ID

40881

0 references

source code repository

https://github.com/cran/bvartools

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instance of

R package

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software version identifier

0.2.1

publication date

22 January 2022

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0.0.1

publication date

11 June 2019

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0.0.2

publication date

20 August 2019

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0.0.3

publication date

23 July 2020

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0.1.0

publication date

18 September 2020

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0.2.0

publication date

25 April 2021

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0.2.2

publication date

12 June 2023

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0.2.3

publication date

31 August 2023

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0.2.4

publication date

8 January 2024

0 references

0 references

0 references

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8 January 2024

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description

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).

0 references

author

Franz X. Mohr

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

depends on software