BVAR (Q1354454): Difference between revisions
From MaRDI portal
Removed claim: depends on software (P342): Item:Q13519 |
Changed an Item |
||
| Property / depends on software | |||
| Property / depends on software: R / rank | |||
Normal rank | |||
| Property / depends on software: R / qualifier | |||
software version identifier: ≥ 3.3.0 | |||
Revision as of 12:44, 4 March 2024
Hierarchical Bayesian Vector Autoregression
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BVAR |
Hierarchical Bayesian Vector Autoregression |
Statements
16 February 2024
0 references
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.
0 references
