BGVAR

Bayesian Global Vector Autoregressions

Florian Huber, Martin Feldkircher, Maximilian Boeck

Last update: 13 December 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 2.5.2, 2.0.0, 2.0.1, 2.1.0, 2.1.1, 2.1.2, 2.1.3, 2.1.4, 2.1.5, 2.2.0, 2.2.3, 2.2.4, 2.3.0, 2.3.1, 2.4.0, 2.4.1, 2.4.2, 2.4.3, 2.4.4, 2.4.5, 2.4.6, 2.5.0, 2.5.1, 2.5.3, 2.5.4, 2.5.5

Source code repository: https://github.com/cran/BGVAR

Description

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 <doi:10.18637/jss.v104.i09>.

Cites work

This page was built for software: BGVAR