MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models

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Provides methods for estimating frequentist and Bayesian Vector Autoregression (VAR) models and Markov-switching 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 likelihood-based 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.

Author
Patrick Brandt [aut, cre], W. Ryan Davis [ctb]
Date of publication
2016-11-15 00:14:13
Maintainer
Patrick Brandt <pbrandt@utdallas.edu>
License
MIT + file LICENSE
Version
0.9-3

View on CRAN

Man pages

A02mcmc
Converts A0 objects to coda MCMC objects
BCFdata
Subset of Data from Brandt, Colaresi, and Freeman (2008)
cf.forecasts
Compare VAR forecasts to each other or real data
decay.spec
Lag decay specification check
dfev
Decompositions of Forecast Error Variance (DFEV) for...
forc.ecdf
Empirical CDF computations for posterior forecast samples
forecast
Generate forecasts for fitted VAR objects
gibbs.A0
Gibbs sampler for posterior of Bayesian structural vector...
gibbs.msbvar
Gibbs sampler for a Markov-switching Bayesian reduced form...
granger.test
Bivariate Granger causality testing
HamiltonGDP
Quarterly U.S. GDP Growth, 1952Q3-1984Q4
hc.forecast
Forecast density estimation of hard condition forecasts for...
initialize.msbvar
Initializes the mode-finder for a Markov-switching Bayesian...
irf
Impulse Response Function (IRF) Computation for a VAR
IsraelPalestineConflict
Weekly Goldstein Scaled Israeli-Palestinian Conflict Data,...
ldwishart
Log density for a Wishart variate
list.print
Prints a list object for the VAR and BVAR models in MSBVAR
mae
Mean absolute error of VAR forecasts
mc.irf
Monte Carlo Integration / Simulation of Impulse Response...
mcmc.szbsvar
Gibbs sampler for coefficients of a B-SVAR model
mean.SS
Summary measures and plots for MS-B(S)VAR state-spaces
mountains
Mountain plots for summarizing forecast densities
msbvar
Markov-switching Bayesian reduced form vector autoregression...
msvar
Markov-switching vector autoregression (MSVAR) estimator
normalize.svar
Likelihood normalization of SVAR models
null.space
Find the null space of a matrix
plot.forc.ecdf
Plots VAR forecasts and their empirical error bands
plot.forecast
Plot function for forecasts
plot.gibbs.A0
Plot a parameter density summary for B-SVAR A(0) objects
plot.irf
Plots impulse responses
plot.mc.irf
Plotting posteriors of Monte Carlo simulated impulse...
plot.ms.irf
Color plot of MSBVAR impulse response functions
plotregimeid
Clustering and plotting function for msbvar permuted sample...
posterior.fit
Estimates the marginal likelihood or log posterior...
print.dfev
Printing DFEV tables
print.posterior.fit
Print method for posterior fit measures
rdirichlet
Random draws from and density for Dirichlet distribution
reduced.form.var
Estimation of a reduced form VAR model
regimeSummary
Regime probability summaries and regime duration estimates...
restmtx
Utility function for generating the restriction matrix for...
rmse
Root mean squared error of a Monte Carlo / MCMC sample of...
rmultnorm
Multivariate Normal Random Number Generator
rwishart
Random deviates from a Wishart distribution
simulateMSAR
Simulate (univariate) Markov-switching autoregressive (MSAR)...
simulateMSVAR
Simulate a Markov-switching VAR (MSVAR) process
SS.ffbs
State-space forward-filter and backwards-sampler for a...
summary
Summary functions for VAR / BVAR / B-SVAR model objects
summary.forecast
Summary functions for forecasts obtained through VAR / BVAR /...
szbsvar
Structural Sims-Zha Bayesian VAR model estimation
szbvar
Reduced form Sims-Zha Bayesian VAR model estimation
SZ.prior.evaluation
Sims-Zha Bayesian VAR Prior Specification Search
uc.forecast
Forecast density estimation unconditional forecasts for...
var.lag.specification
Automated VAR lag specification testing

Files in this package

MSBVAR
MSBVAR/COPYING
MSBVAR/src
MSBVAR/src/hholder.cpp
MSBVAR/src/myexcept.h
MSBVAR/src/newmatnl.h
MSBVAR/src/Makevars
MSBVAR/src/mc_irf_bsvar.cpp
MSBVAR/src/mc_irf_var.cpp
MSBVAR/src/solution.h
MSBVAR/src/postfit.cpp
MSBVAR/src/newmat1.cpp
MSBVAR/src/boolean.h
MSBVAR/src/newmatnl.cpp
MSBVAR/src/QRD.h
MSBVAR/src/newmatio.h
MSBVAR/src/newmat9.cpp
MSBVAR/src/newmat8.cpp
MSBVAR/src/A0_W.cpp
MSBVAR/src/gibbsA0.cpp
MSBVAR/src/cholesky.cpp
MSBVAR/src/qSlogdmvnorm.f
MSBVAR/src/newmat3.cpp
MSBVAR/src/jacobi.cpp
MSBVAR/src/ForwardFilter.f
MSBVAR/src/ForwardFilterReg.f
MSBVAR/src/FFBS.f
MSBVAR/src/newmatrm.h
MSBVAR/src/A0_W.h
MSBVAR/src/MSBVARfun.cpp
MSBVAR/src/irf_var_from_beta.cpp
MSBVAR/src/irf_var.cpp
MSBVAR/src/newmat.h
MSBVAR/src/myexcept.cpp
MSBVAR/src/bandmat.cpp
MSBVAR/src/evalue.cpp
MSBVAR/src/precisio.h
MSBVAR/src/msbsvar_irf.cpp
MSBVAR/src/newmat6.cpp
MSBVAR/src/drawA0.cpp
MSBVAR/src/qSlogdinvwish.f
MSBVAR/src/solution.cpp
MSBVAR/src/newmatap.h
MSBVAR/src/newmat5.cpp
MSBVAR/src/newmatrm.cpp
MSBVAR/src/MSBVARcpp.h
MSBVAR/src/newfft.cpp
MSBVAR/src/newmat7.cpp
MSBVAR/src/newmat2.cpp
MSBVAR/src/sort.cpp
MSBVAR/src/utils.f
MSBVAR/src/fft.cpp
MSBVAR/src/QRD.cpp
MSBVAR/src/controlw.h
MSBVAR/src/Makevars.win
MSBVAR/src/init.cpp
MSBVAR/src/norm_svar.cpp
MSBVAR/src/submat.cpp
MSBVAR/src/svd.cpp
MSBVAR/src/BackwardSampler.f
MSBVAR/src/wrapper.c
MSBVAR/src/include.h
MSBVAR/src/rng.cpp
MSBVAR/src/newmatex.cpp
MSBVAR/src/newmatrc.h
MSBVAR/src/newmat4.cpp
MSBVAR/src/HamiltonFilter.f
MSBVAR/NAMESPACE
MSBVAR/data
MSBVAR/data/HamiltonGDP.RData
MSBVAR/data/BCFdata.RData
MSBVAR/data/IsraelPalestineConflict.RData
MSBVAR/R
MSBVAR/R/rmultnorm.R
MSBVAR/R/posterior.fit.MSBVAR.R
MSBVAR/R/gibbs.msbvar.R
MSBVAR/R/msvar.R
MSBVAR/R/null.space.R
MSBVAR/R/mountains.R
MSBVAR/R/summary.forecast.R
MSBVAR/R/dfev.R
MSBVAR/R/gibbs.A0.R
MSBVAR/R/var.lag.specification.R
MSBVAR/R/plot.gibbs.A0.R
MSBVAR/R/szbsvar.R
MSBVAR/R/rmse.R
MSBVAR/R/normalize.svar.R
MSBVAR/R/simulateMSAR.R
MSBVAR/R/rwishart.R
MSBVAR/R/posterior.fit.R
MSBVAR/R/msbvar.R
MSBVAR/R/szbvar.R
MSBVAR/R/mae.R
MSBVAR/R/forc.ecdf.R
MSBVAR/R/SS.R
MSBVAR/R/restmtx.R
MSBVAR/R/bingen.R
MSBVAR/R/irf.R
MSBVAR/R/dirichlet.R
MSBVAR/R/granger.test.R
MSBVAR/R/reduced.form.var.R
MSBVAR/R/plot.forecast.R
MSBVAR/R/forecast.R
MSBVAR/R/hidden.R
MSBVAR/R/plot.ms.irf.R
MSBVAR/R/SZ.prior.evaluation.R
MSBVAR/R/plotregimeid.R
MSBVAR/R/regimeSummary.R
MSBVAR/R/mc.irf.R
MSBVAR/R/decay.spec.R
MSBVAR/R/cf.forecasts.R
MSBVAR/R/mcmc.szbsvar.R
MSBVAR/R/zzz.R
MSBVAR/R/initialize.msbvar.R
MSBVAR/R/simulateMSVAR.R
MSBVAR/R/sanity.R
MSBVAR/MD5
MSBVAR/README
MSBVAR/DESCRIPTION
MSBVAR/man
MSBVAR/man/granger.test.Rd
MSBVAR/man/forc.ecdf.Rd
MSBVAR/man/SZ.prior.evaluation.Rd
MSBVAR/man/decay.spec.Rd
MSBVAR/man/plot.irf.Rd
MSBVAR/man/HamiltonGDP.Rd
MSBVAR/man/plot.mc.irf.Rd
MSBVAR/man/rmse.Rd
MSBVAR/man/gibbs.msbvar.Rd
MSBVAR/man/print.dfev.Rd
MSBVAR/man/msbvar.Rd
MSBVAR/man/null.space.Rd
MSBVAR/man/irf.Rd
MSBVAR/man/rdirichlet.Rd
MSBVAR/man/szbsvar.Rd
MSBVAR/man/normalize.svar.Rd
MSBVAR/man/rmultnorm.Rd
MSBVAR/man/restmtx.Rd
MSBVAR/man/var.lag.specification.Rd
MSBVAR/man/mae.Rd
MSBVAR/man/IsraelPalestineConflict.Rd
MSBVAR/man/SS.ffbs.Rd
MSBVAR/man/ldwishart.Rd
MSBVAR/man/plot.gibbs.A0.Rd
MSBVAR/man/mc.irf.Rd
MSBVAR/man/BCFdata.Rd
MSBVAR/man/summary.forecast.Rd
MSBVAR/man/hc.forecast.Rd
MSBVAR/man/uc.forecast.Rd
MSBVAR/man/plot.forecast.Rd
MSBVAR/man/msvar.Rd
MSBVAR/man/simulateMSAR.Rd
MSBVAR/man/simulateMSVAR.Rd
MSBVAR/man/cf.forecasts.Rd
MSBVAR/man/reduced.form.var.Rd
MSBVAR/man/mean.SS.Rd
MSBVAR/man/plot.ms.irf.Rd
MSBVAR/man/mcmc.szbsvar.Rd
MSBVAR/man/list.print.Rd
MSBVAR/man/forecast.Rd
MSBVAR/man/plotregimeid.Rd
MSBVAR/man/dfev.Rd
MSBVAR/man/initialize.msbvar.Rd
MSBVAR/man/posterior.fit.Rd
MSBVAR/man/mountains.Rd
MSBVAR/man/A02mcmc.Rd
MSBVAR/man/gibbs.A0.Rd
MSBVAR/man/regimeSummary.Rd
MSBVAR/man/print.posterior.fit.Rd
MSBVAR/man/szbvar.Rd
MSBVAR/man/summary.Rd
MSBVAR/man/rwishart.Rd
MSBVAR/man/plot.forc.ecdf.Rd
MSBVAR/LICENSE