MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models
Version 0.9-3

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.

AuthorPatrick Brandt [aut, cre], W. Ryan Davis [ctb]
Date of publication2016-11-15 00:14:13
MaintainerPatrick Brandt <pbrandt@utdallas.edu>
LicenseMIT + file LICENSE
Version0.9-3
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("MSBVAR")

Popular man pages

gibbs.msbvar: Gibbs sampler for a Markov-switching Bayesian reduced form...
msbvar: Markov-switching Bayesian reduced form vector autoregression...
msvar: Markov-switching vector autoregression (MSVAR) estimator
plot.ms.irf: Color plot of MSBVAR impulse response functions
rmse: Root mean squared error of a Monte Carlo / MCMC sample of...
szbvar: Reduced form Sims-Zha Bayesian VAR model estimation
var.lag.specification: Automated VAR lag specification testing
See all...

All man pages Function index File listing

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

Functions

A02mcmc Man page
BCFdata Man page
BHLK.smoother Source code
Beta.draw Source code
Betai2coefs Source code
ForwardFilterReg Source code
HamiltonGDP Man page
IsraelPalestineConflict Man page
MSBVARfcast Source code
PermuteFlip Source code
Q.drawGibbs Source code
Q.drawMH Source code
SS.ffbs Man page Source code
SZ.prior.evaluation Man page Source code
Sigma.draw Source code
Y Man page
bingen Source code
bingen.R Source code
blkopt Source code
cf.forecasts Man page
count.transitions Source code
ddirichlet Man page Source code
decay.spec Man page
dfev Man page
dfev.BSVAR Man page
dfev.BVAR Man page
dfev.VAR Man page
eta.ergodic Source code
forc.ecdf Man page
forecast Man page
forecast.BSVAR Man page
forecast.BVAR Man page
forecast.MSBVAR Source code
forecast.VAR Man page
generate.states Source code
getA0 Source code
gibbs.A0 Man page
gibbs.msbvar Man page Source code
granger.test Man page
hc.forecast Man page
hdr Source code
hregime.reg2 Source code
hregime.reg2.mle Source code Source code
hregime.setup Source code
initialize.msbvar Man page Source code
irf Man page
irf.BSVAR Man page
irf.BVAR Man page
irf.VAR Man page
ldwishart Man page
list.print Man page
llf.msar Source code
logdinvwish Source code
logdmvnorm Source code
mae Man page
mc.irf Man page
mc.irf.BSVAR Man page
mc.irf.BVAR Man page
mc.irf.VAR Man page
mcmc.szbsvar Man page
mean.SS Man page Source code
mountains Man page
msbvar Man page Source code
msvar Man page Source code
normalize.svar Man page
null.space Man page
onAttach Source code
onUnload Source code
plot.SS Man page Source code
plot.forc.ecdf Man page
plot.forecast Man page
plot.forecast.BSVAR Man page
plot.forecast.BVAR Man page
plot.forecast.VAR Man page
plot.gibbs.A0 Man page
plot.irf Man page
plot.irf.BSVAR Man page
plot.irf.BVAR Man page
plot.irf.VAR Man page
plot.mc.irf Man page
plot.ms.irf Man page
plotregimeid Man page Source code
posterior.fit Man page
posterior.fit.BSVAR Man page
posterior.fit.BVAR Man page
posterior.fit.MSBVAR Source code
posterior.fit.VAR Man page
print.dfev Man page
print.posterior.fit Man page
print.posterior.fit.BSVAR Man page
print.posterior.fit.BVAR Man page
print.posterior.fit.MSBVAR Man page
print.posterior.fit.VAR Man page
qSlogdinvwish Source code
qSlogdmvnorm Source code
rdirichlet Man page Source code
reduced.form.var Man page
regimeSummary Man page Source code
residual.update Source code
restmtx Man page
rmse Man page
rmultnorm Man page
rwishart Man page
ryan.autocov Source code
setupGibbs Source code
simulateMSAR Man page Source code
simulateMSVAR Man page Source code
steady.Q Source code
sum.SS Man page Source code
summary Man page
summary.BSVAR Man page
summary.BVAR Man page
summary.VAR Man page
summary.dfev Man page
summary.forecast Man page
summary.forecast.BSVAR Man page
summary.forecast.BVAR Man page
summary.forecast.VAR Man page
szbsvar Man page
szbvar Man page
tcholpivot Source code
uc.forecast Man page
uc.forecast.BSVAR Man page
uc.forecast.BVAR Man page
uc.forecast.VAR Man page
updateinit Source code
var.SS Man page
var.lag.specification Man page
vech Source code
xpnd Source code
z2 Man page

Files

COPYING
src
src/hholder.cpp
src/myexcept.h
src/newmatnl.h
src/Makevars
src/mc_irf_bsvar.cpp
src/mc_irf_var.cpp
src/solution.h
src/postfit.cpp
src/newmat1.cpp
src/boolean.h
src/newmatnl.cpp
src/QRD.h
src/newmatio.h
src/newmat9.cpp
src/newmat8.cpp
src/A0_W.cpp
src/gibbsA0.cpp
src/cholesky.cpp
src/qSlogdmvnorm.f
src/newmat3.cpp
src/jacobi.cpp
src/ForwardFilter.f
src/ForwardFilterReg.f
src/FFBS.f
src/newmatrm.h
src/A0_W.h
src/MSBVARfun.cpp
src/irf_var_from_beta.cpp
src/irf_var.cpp
src/newmat.h
src/myexcept.cpp
src/bandmat.cpp
src/evalue.cpp
src/precisio.h
src/msbsvar_irf.cpp
src/newmat6.cpp
src/drawA0.cpp
src/qSlogdinvwish.f
src/solution.cpp
src/newmatap.h
src/newmat5.cpp
src/newmatrm.cpp
src/MSBVARcpp.h
src/newfft.cpp
src/newmat7.cpp
src/newmat2.cpp
src/sort.cpp
src/utils.f
src/fft.cpp
src/QRD.cpp
src/controlw.h
src/Makevars.win
src/init.cpp
src/norm_svar.cpp
src/submat.cpp
src/svd.cpp
src/BackwardSampler.f
src/wrapper.c
src/include.h
src/rng.cpp
src/newmatex.cpp
src/newmatrc.h
src/newmat4.cpp
src/HamiltonFilter.f
NAMESPACE
data
data/HamiltonGDP.RData
data/BCFdata.RData
data/IsraelPalestineConflict.RData
R
R/rmultnorm.R
R/posterior.fit.MSBVAR.R
R/gibbs.msbvar.R
R/msvar.R
R/null.space.R
R/mountains.R
R/summary.forecast.R
R/dfev.R
R/gibbs.A0.R
R/var.lag.specification.R
R/plot.gibbs.A0.R
R/szbsvar.R
R/rmse.R
R/normalize.svar.R
R/simulateMSAR.R
R/rwishart.R
R/posterior.fit.R
R/msbvar.R
R/szbvar.R
R/mae.R
R/forc.ecdf.R
R/SS.R
R/restmtx.R
R/bingen.R
R/irf.R
R/dirichlet.R
R/granger.test.R
R/reduced.form.var.R
R/plot.forecast.R
R/forecast.R
R/hidden.R
R/plot.ms.irf.R
R/SZ.prior.evaluation.R
R/plotregimeid.R
R/regimeSummary.R
R/mc.irf.R
R/decay.spec.R
R/cf.forecasts.R
R/mcmc.szbsvar.R
R/zzz.R
R/initialize.msbvar.R
R/simulateMSVAR.R
R/sanity.R
MD5
README
DESCRIPTION
man
man/granger.test.Rd
man/forc.ecdf.Rd
man/SZ.prior.evaluation.Rd
man/decay.spec.Rd
man/plot.irf.Rd
man/HamiltonGDP.Rd
man/plot.mc.irf.Rd
man/rmse.Rd
man/gibbs.msbvar.Rd
man/print.dfev.Rd
man/msbvar.Rd
man/null.space.Rd
man/irf.Rd
man/rdirichlet.Rd
man/szbsvar.Rd
man/normalize.svar.Rd
man/rmultnorm.Rd
man/restmtx.Rd
man/var.lag.specification.Rd
man/mae.Rd
man/IsraelPalestineConflict.Rd
man/SS.ffbs.Rd
man/ldwishart.Rd
man/plot.gibbs.A0.Rd
man/mc.irf.Rd
man/BCFdata.Rd
man/summary.forecast.Rd
man/hc.forecast.Rd
man/uc.forecast.Rd
man/plot.forecast.Rd
man/msvar.Rd
man/simulateMSAR.Rd
man/simulateMSVAR.Rd
man/cf.forecasts.Rd
man/reduced.form.var.Rd
man/mean.SS.Rd
man/plot.ms.irf.Rd
man/mcmc.szbsvar.Rd
man/list.print.Rd
man/forecast.Rd
man/plotregimeid.Rd
man/dfev.Rd
man/initialize.msbvar.Rd
man/posterior.fit.Rd
man/mountains.Rd
man/A02mcmc.Rd
man/gibbs.A0.Rd
man/regimeSummary.Rd
man/print.posterior.fit.Rd
man/szbvar.Rd
man/summary.Rd
man/rwishart.Rd
man/plot.forc.ecdf.Rd
LICENSE
MSBVAR documentation built on May 19, 2017, 11:34 p.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.