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BHSBVAR: Structural Bayesian Vector Autoregression Models
Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.
Getting started
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Package details |
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| Author | Paul Richardson [aut, cre] |
| Maintainer | Paul Richardson <p.richardson.54391@gmail.com> |
| License | GPL (>= 3) |
| Version | 3.1.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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