bvartools: Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2007, ISBN: 9783540262398).

Package details

AuthorFranz X. Mohr [aut, cre]
MaintainerFranz X. Mohr <[email protected]>
LicenseGPL (>= 2)
Version0.0.2
URL https://github.com/franzmohr/bvartools
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bvartools")

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bvartools documentation built on Aug. 20, 2019, 5:27 p.m.