BHSBVAR-package | R Documentation |
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.
See vignette.
Baumeister, C., & Hamilton, J.D. (2015). Sign restrictions, structural vector autoregressions, and useful prior information. Econometrica, 83(5), 1963-1999.
Baumeister, C., & Hamilton, J.D. (2017). Structural interpretation of vector autoregressions with incomplete identification: Revisiting the role of oil supply and demand shocks (No. w24167). National Bureau of Economic Research.
Baumeister, C., & Hamilton, J.D. (2018). Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. Journal of Monetary Economics, 100, 48-65.
Dr. Christiane Baumeister's website https://sites.google.com/site/cjsbaumeister/.
Dr. James D. Hamilton's website https://econweb.ucsd.edu/~jhamilton/.
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