bvhar

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Bayesian Vector Heterogeneous Autoregressive Modeling

Young Geun Kim

Last update: 14 February 2024

Copyright license: GNU General Public License

Software version identifier: 1.0.0, 1.0.1, 1.0.2, 1.1.0, 1.2.0, 2.0.0

Description

Tools to research Bayesian Vector heterogeneous autoregressive (VHAR) model, referring to Kim & Baek (2023) (<doi:10.1080/00949655.2023.2281644>). 'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.

Cites work

• Bayesian vector heterogeneous autoregressive modelling

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