CRAN/E | BVAR

BVAR

Hierarchical Bayesian Vector Autoregression

Installation

About

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.

Citation BVAR citation info
github.com/nk027/bvar
Bug report File report

Key Metrics

Version 1.0.5
R ≥ 3.3.0
Published 2024-02-16 42 days ago
Needs compilation? no
License GPL-3
License File
CRAN checks BVAR results

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Maintainer

Maintainer

Nikolas Kuschnig

nikolas.kuschnig@wu.ac.at

Authors

Nikolas Kuschnig

aut / cre

Lukas Vashold

aut

Nirai Tomass

ctb

Michael McCracken

dtc

Serena Ng

dtc

Material

README
NEWS
Reference manual
Package source

In Views

Bayesian
TimeSeries

Vignettes

BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

BVAR archive

Depends

R ≥ 3.3.0

Imports

mvtnorm
stats
graphics
utils
grDevices

Suggests

coda
vars
tinytest

Reverse Depends

BVARverse