bvartools

Last update 8 January 2024

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.2.1, 0.0.1, 0.0.2, 0.0.3, 0.1.0, 0.2.0, 0.2.2, 0.2.3, 0.2.4

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

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

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).

Cites work

Bayesian multivariate time series methods for empirical macroeconomics

Cited in

(4)

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