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.

Author
Fabian Krueger
Date of publication
2015-11-25 14:40:22
Maintainer
Fabian Krueger <Fabian.Krueger83@gmail.com>
License
GPL (>= 2)
Version
1.1
URLs

View on CRAN

Man pages

bvarsv-package
Bayesian Analysis of a Vector Autoregressive Model with...
bvar.sv.tvp
Bayesian Analysis of a Vector Autoregressive Model with...
helpers
Helper Functions to Access BVAR Forecast Distributions and...
impulse.responses
Compute Impulse Response Function from a Fitted Model
sim.var1.sv.tvp
Simulate from a VAR(1) with Stochastic Volatility and...
usmacro
US Macroeconomic Time Series

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