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)
Package repositoryView on CRAN
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bvartools documentation built on Aug. 20, 2019, 5:27 p.m.