FK83/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.
Getting started
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Package details |
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| Author | Fabian Krueger |
| Maintainer | Fabian Krueger <Fabian.Krueger83@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1 |
| URL | https://sites.google.com/site/fk83research/code |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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