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.

Install the latest version of this package by entering the following in R:
install.packages("bvarsv")
AuthorFabian Krueger
Date of publication2015-11-25 14:40:22
MaintainerFabian Krueger <Fabian.Krueger83@gmail.com>
LicenseGPL (>= 2)
Version1.1
https://sites.google.com/site/fk83research/code

View on CRAN

Files

src
src/Makevars
src/bvarsv.cpp
src/Makevars.win
src/RcppExports.cpp
NAMESPACE
data
data/usmacro.update.RData
data/usmacro.RData
R
R/bvarsv.R R/RcppExports.R
README.md
MD5
DESCRIPTION
man
man/bvar.sv.tvp.Rd man/bvarsv-package.Rd man/usmacro.Rd man/impulse.responses.Rd man/helpers.Rd man/sim.var1.sv.tvp.Rd

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

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

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