BVAR

MaRDI QIDQ1354454swMATHCRANFDO

Authors Lukas Vashold, Nikolas Kuschnig

Last update 16 February 2024

Copyright license GNU General Public License, version 3.0, File License

Software version identifier 1.0.4, 0.1.3, 0.1.5, 0.2.0, 0.2.1, 0.2.2, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.0.5

Official website https://cran.r-project.org/web/packages/BVAR/index.html

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

Description

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.

Cites work

• BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R
• Prior Selection for Vector Autoregressions

Cited in

(1)

• bvartools

This page was built for software: BVAR