Estimation of mixedfrequency Bayesian vector autoregressive (VAR) models with Minnesota or steadystate priors. The package implements a state spacebased VAR model that handles mixed frequencies of the data. The model is estimated using Markov Chain Monte Carlo to numerically approximate the posterior distribution, where the prior can be either the Minnesota prior, as used by Schorfheide and Song (2015) <doi:10.1080/07350015.2014.954707>, or the steadystate prior, as advocated by Ankargren, Unosson and Yang (2018) <http://uu.divaportal.org/smash/get/diva2:1260262/FULLTEXT01.pdf>.
Package details 


Author  Sebastian Ankargren [cre, aut] (<https://orcid.org/0000000344158734>), Yukai Yang [aut] 
Maintainer  Sebastian Ankargren <[email protected]> 
License  GPL3 
Version  0.4.0 
URL  https://github.com/ankargren/mfbvar 
Package repository  View on CRAN 
Installation 
Install the latest version of this package by entering the following in R:

Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.