bvartools-package: bvartools: Bayesian Inference of Vector Autoregressive and...

In franzmohr/bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

Description

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1561/0800000013")} and Luetkepohl (2006, ISBN: 9783540262398).

Author(s)

Maintainer: Franz X. Mohr [e-mail] (0009-0003-8890-7781)

See Also

Useful links:

• https://github.com/franzmohr/bvartools

• Report bugs at https://github.com/franzmohr/bvartools/issues

franzmohr/bvartools documentation built on Jan. 28, 2024, 4:06 a.m.