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Bayesian Inference of Vector Autoregressive and Error Correction Models
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bvartools
Bayesian Inference of Vector Autoregressive and Error Correction Models

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    0.2.1
    22 January 2022
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    0.0.1
    11 June 2019
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    0.0.2
    20 August 2019
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    0.0.3
    23 July 2020
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    0.1.0
    18 September 2020
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    0.2.0
    25 April 2021
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    0.2.2
    12 June 2023
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    0.2.3
    31 August 2023
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    0.2.4
    8 January 2024
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    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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