bvartools
swMATH40881CRANbvartoolsMaRDI QIDQ1354449
Bayesian Inference of Vector Autoregressive and Error Correction Models
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
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).
