bayesianVARs

CRANbayesianVARsMaRDI QIDQ5977685

MCMC Estimation of Bayesian Vectorautoregressions

Luis Gruber

Last update: 20 January 2024

Software version identifier: 0.1.0, 0.1.1, 0.1.2

Copyright license: GNU General Public License

Description

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023) <arXiv:2206.04902>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.

Cites work

• Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Sparse Bayesian vector autoregressions in huge dimensions
• Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!