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.

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 in this package

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

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

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