Provides methods for estimating frequentist and Bayesian Vector Autoregression (VAR) models and Markovswitching Bayesian VAR (MSBVAR). Functions for reduced form and structural VAR models are also available. Includes methods for the generating posterior inferences for these models, forecasts, impulse responses (using likelihoodbased error bands), and forecast error decompositions. Also includes utility functions for plotting forecasts and impulse responses, and generating draws from Wishart and singular multivariate normal densities. Current version includes functionality to build and evaluate models with Markov switching.
Package details 


Author  Patrick Brandt [aut, cre], W. Ryan Davis [ctb] 
Date of publication  20161115 00:14:13 
Maintainer  Patrick Brandt <[email protected]> 
License  MIT + file LICENSE 
Version  0.93 
Package repository  View on CRAN 
Installation 
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