VARsignR: Sign Restrictions, Bayesian, Vector Autoregression Models

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Provides routines for identifying structural shocks in vector autoregressions (VARs) using sign restrictions.

Author
Christian Danne [aut, cre]
Date of publication
2015-12-21 08:54:51
Maintainer
Christian Danne <dannec@tcd.ie>
License
GPL (>= 3)
Version
0.1.3

View on CRAN

Man pages

fevdplot
Plotting variance decompositions with error bands from VAR...
fp.target
Fry and Pagan's (2011) median target method
irfplot
Plotting impulse responses with error bands from VAR...
rfbvar
Recursive BVAR with a flat Normal inverted-Wishart prior
rwz.reject
Rubio-Ramirez et al's (2010) rejection method
uhligdata
Monthly US Macroeconomic Time Series
uhlig.penalty
Uhlig's (2005) penalty function method
uhlig.reject
Uhlig's (2005) rejection method
VARsignR-package
Estimating VARs using sign restrictions

Files in this package

VARsignR
VARsignR/inst
VARsignR/inst/doc
VARsignR/inst/doc/VARsignR-vignette.html
VARsignR/inst/doc/VARsignR-vignette.Rmd
VARsignR/inst/doc/VARsignR-vignette.R
VARsignR/NAMESPACE
VARsignR/data
VARsignR/data/uhligdata.rda
VARsignR/R
VARsignR/R/stereo.R
VARsignR/R/uhlig.penalty.R
VARsignR/R/UhligAccept.R
VARsignR/R/rwz.reject.R
VARsignR/R/rfvar.R
VARsignR/R/RWZAccept.R
VARsignR/R/UhligPenalty.R
VARsignR/R/sanity.check.fevdplot.R
VARsignR/R/sanity.check.uhlig.penalty.R
VARsignR/R/sanity.check.reject.R
VARsignR/R/sanity.check.rfbvar.R
VARsignR/R/sanity.check.target.R
VARsignR/R/fevdplot.R
VARsignR/R/uhlig.reject.R
VARsignR/R/rfbvar.R
VARsignR/R/VARsignR-internal.R
VARsignR/R/irfplot.R
VARsignR/R/sanity.check.irfplot.R
VARsignR/R/fp.target.R
VARsignR/R/fn.impulse.R
VARsignR/R/FPgap.R
VARsignR/vignettes
VARsignR/vignettes/fptargetur.jpeg
VARsignR/vignettes/uhligrej5c.jpeg
VARsignR/vignettes/fptargetup.jpeg
VARsignR/vignettes/VARsignR-vignette.Rmd
VARsignR/vignettes/uhligpenalty.jpeg
VARsignR/vignettes/rwzreject.jpeg
VARsignR/vignettes/shock.jpeg
VARsignR/vignettes/fevd.jpeg
VARsignR/vignettes/uhligreject.jpeg
VARsignR/vignettes/rfvar.jpeg
VARsignR/MD5
VARsignR/build
VARsignR/build/vignette.rds
VARsignR/DESCRIPTION
VARsignR/man
VARsignR/man/VARsignR-package.Rd
VARsignR/man/irfplot.Rd
VARsignR/man/uhligdata.Rd
VARsignR/man/rwz.reject.Rd
VARsignR/man/rfbvar.Rd
VARsignR/man/uhlig.penalty.Rd
VARsignR/man/fevdplot.Rd
VARsignR/man/uhlig.reject.Rd
VARsignR/man/fp.target.Rd