In common2016/FAVAR: Bayesian Analysis of a FAVAR Model

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FAVAR

The goal of FAVAR is to estimate a FAVAR model by Bernanke et al. (2005).

Installation

You can install the package FAVAR from CRAN:

install.packages('FAVAR')

You can install the development version of FAVAR from GitHub with:

# install.packages("devtools")
devtools::install_github("common2016/FAVAR")

Example

This is a basic example which shows you how to estimate a FAVAR model:

library(FAVAR)
## basic example code
data('regdata')
fit <- FAVAR(Y = regdata[,c("Inflation","Unemployment","Fed_funds")],
             X = regdata[,1:115], slowcode = slowcode,fctmethod = 'BBE',
             factorprior = list(b0 = 0, vb0 = NULL, c0 = 0.01, d0 = 0.01), 
             varprior = list(b0 = 0,vb0 = 10, nu0 = 0, s0 = 0),
             nrep = 500, nburn = 100, K = 2, plag = 2)
# print FAVAR estimation results
summary(fit,xvar = c(3,5))
# plot impulse response figure
library(patchwork)
ans <- irf(fit,resvar = c(2,9,10), tcode = tcode, nhor = 21, showplot = T)

Reference

• Bernanke, B.S., J. Boivin and P. Eliasz, Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. Quarterly Journal of Economics, 2005. 120(1): p. 387-422.

common2016/FAVAR documentation built on April 17, 2023, 11:34 p.m.