bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
Version 1.1

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.

Package details

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

Try the bvarsv package in your browser

Any scripts or data that you put into this service are public.

bvarsv documentation built on May 29, 2017, 5:37 p.m.