README.md

In FK83/bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

bvarsv

R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (folder `man') and the supporting documents on https://sites.google.com/site/fk83research/code for details.

• August 2014: Version 1.0
• November 2015: Version 1.1 (extended functionality for impulse responses and access to parameter draws)

The (stable version of the) package is on CRAN: https://cran.r-project.org/web/packages/bvarsv/index.html

References

Primiceri, G E (2005): `Time Varying Structural Vector Autoregressions and Monetary Policy', Review of Economic Studies 72, 821-852.

Del Negro, M and G E Primiceri (2015): `Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum', Review of Economic Studies 82, 1342-1345.

FK83/bvarsv documentation built on July 15, 2019, 8:54 p.m.