bvartools (Q1354449): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI software profile / rank | |||
Normal rank | |||
Revision as of 08:13, 4 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
0 references
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
expanded from: GPL (≥ 2) (English)
0 references
