MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models

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

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

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