BVAR: Hierarchical Bayesian Vector Autoregression

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Allows for the computation of impulse responses and forecasts and provides several methods for assessing results.

Version: 0.2.1
Depends: R (≥ 3.3.0)
Imports: mvtnorm, stats, graphics, utils
Suggests: coda, vars
Published: 2019-09-21
Author: Nikolas Kuschnig [aut, cre], Lukas Vashold [aut], Michael McCracken [dtc] (author of the FRED-QD dataset)
Maintainer: Nikolas Kuschnig <nikolas.kuschnig at wu.ac.at>
BugReports: https://github.com/nk027/bvar/issues
License: GPL-3 | file LICENSE
URL: https://github.com/nk027/bvar
NeedsCompilation: no
Citation: BVAR citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: BVAR results

Downloads:

Reference manual: BVAR.pdf
Package source: BVAR_0.2.1.tar.gz
Windows binaries: r-devel: BVAR_0.2.1.zip, r-release: BVAR_0.2.1.zip, r-oldrel: BVAR_0.2.1.zip
OS X binaries: r-release: BVAR_0.2.1.tgz, r-oldrel: BVAR_0.2.1.tgz
Old sources: BVAR archive

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