BVAR-package: BVAR: Hierarchical Bayesian vector autoregression
In BVAR: Hierarchical Bayesian Vector Autoregression
BVAR-package R Documentation
BVAR: Hierarchical Bayesian vector autoregression
Description
Estimation of hierarchical Bayesian vector autoregressive models following
Kuschnig & Vashold (2021).
Implements hierarchical prior selection for conjugate priors in the fashion
of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions
to compute and identify impulse responses, calculate forecasts,
forecast error variance decompositions and scenarios are available.
Several methods to print, plot and summarise results facilitate analysis.
References
Giannone, D. and Lenza, M. and Primiceri, G. E. (2015) Prior Selection for
Vector Autoregressions. The Review of Economics and Statistics,
97:2, 436-451, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1162/REST_a_00483")}.
Kuschnig, N. and Vashold, L. (2021) BVAR: Bayesian Vector Autoregressions
with Hierarchical Prior Selection in R.
Journal of Statistical Software, 14, 1-27,
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v100.i14")}.
BVAR documentation built on March 31, 2023, 11:59 p.m.
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| BVAR-package | R Documentation |
BVAR: Hierarchical Bayesian vector autoregression
Description
Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021). Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
References
Giannone, D. and Lenza, M. and Primiceri, G. E. (2015) Prior Selection for Vector Autoregressions. The Review of Economics and Statistics, 97:2, 436-451, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1162/REST_a_00483")}.
Kuschnig, N. and Vashold, L. (2021) BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R. Journal of Statistical Software, 14, 1-27, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v100.i14")}.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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