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bvartools

Bayesian Inference of Vector Autoregressive and Error Correction Models

Installation

About

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).

Citation bvartools citation info
github.com/franzmohr/bvartools
Bug report File report

Key Metrics

Version 0.2.4
R ≥ 3.4.0
Published 2024-01-08 80 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks bvartools results

Downloads

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Maintainer

Maintainer

Franz X. Mohr

franz.x.mohr@outlook.com

Authors

Franz X. Mohr

aut / cre

(0009-0003-8890-7781)

Material

NEWS
Reference manual
Package source

In Views

TimeSeries

Vignettes

Introduction to bvartools
Bayesian Error Correction Models with Priors on the Cointegration Space
Model comparison in bvartools
Stochastic Search Variable Selection in bvartools

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

bvartools archive

Depends

R ≥ 3.4.0
coda
Matrix

Imports

grDevices
graphics
methods
parallel
Rcpp ≥ 0.12.14
stats

Suggests

knitr
rmarkdown

LinkingTo

Rcpp
RcppArmadillo

Reverse Imports

FAVAR