BVAR

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Hierarchical Bayesian Vector Autoregression

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

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)

• BVARverse

This page was built for software: BVAR