bvartools (Q1354449)
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Bayesian Inference of Vector Autoregressive and Error Correction Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | bvartools |
Bayesian Inference of Vector Autoregressive and Error Correction Models |
Statements
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).
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expanded from: GPL (≥ 2) (English)
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11 September 2026
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Identifiers
19 January 2024
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