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.

Package details

AuthorPaul Richardson
MaintainerPaul Richardson <[email protected]>
LicenseGPL (>= 3)
Version1.0.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("BHSBVAR")

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BHSBVAR documentation built on May 1, 2019, 9:22 p.m.