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.

Package details

AuthorFabian Krueger
MaintainerFabian Krueger <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bvarsv documentation built on May 2, 2019, 4:16 a.m.