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bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.
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Package details |
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| Author | Fabian Krueger |
| Maintainer | Fabian Krueger <Fabian.Krueger83@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1 |
| URL | https://sites.google.com/site/fk83research/code |
| Package repository | View on CRAN |
| Installation |
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