Man pages for joergrieger/bvar
Estimation and forecasting of bayesian VAR models
| bvar | Estimate a bayesian vector autoregressive model. |
| companionmatrix | stability - Function to rewrite the VAR-estimate in companion... |
| compirf | Function to draw one single path for the impulse-response... |
| countseq | counts the sequence of transitions |
| draw_posterior.cnw | function to draw the posterior |
| draw_posterior.minnesota | function to draw the posterior for a Minnesota Prior |
| draw_posterior_normal | draw posterior for measurement equation using a normal-gamma... |
| draw_posterior_ssvs | Draw posterior for measurement equation using an SSVS-prior |
| draw_posterior.ssvs | draw posterior for VAR Model with SSVS-Prior |
| draw_posterior.unf | function to draw the posterior for an uninformative prior |
| favar | Factor-Augmented Vector Autoregression |
| fevd | Forecast error variance decomposition |
| fevd.bvar | forecast error variance decomposition for bayesian VARs |
| fevd.msvar | forecast error variance decomposition for regime switching... |
| fevd.tvar | forecast error variance decomposition for bayesian TVARs |
| forecast | compute forecasts |
| forecast.bvar | forecasts for a bayesian VAR model |
| forecast.msvar | forecast a markov-switching model |
| forecast.tvar | forecast threshold vector autoregression |
| ftvar | bayesian estimation of threshold VAR |
| get_factors | extract factors from a time series |
| gfevd | internal function to calculate a generalized fevd |
| hamiltonfilter | Hamiltonfilter |
| hd | Historical decompositions |
| hd.bvar | Historical decomposition for bayesian vector autoregression |
| hd.msvar | Historical decomposition for bayesian vector autoregression |
| hd.tvar | Historical decomposition for bayesian vector autoregression |
| initialize_mcmc.cnw | Initialize the mcmc sampler for conjugate... |
| initialize_mcmc.minnesota | Initialize the mcmc sampler for Minnesota Prior |
| initialize_mcmc.ssvs | Initialize the mcmc sampler for SSVS-Prior |
| initialize_mcmc.unf | Initialize the mcmc sampler for uninformative prior |
| irf | Generic method for calculating Impulse-Response-Functions |
| irf.bvar | Function to calculate irfs |
| irf.favar | Function to calculate irfs |
| irf.ftvar | impulse-response functions for threshold VAR-Models |
| irf.msvar | impulse-response functions for regime-switching models |
| irf.tvar | impulse-response functions for threshold VAR-Models |
| lagdata | lagdata - function to lag data |
| loglike | calculate the log-likelihood function for a VAR |
| msvar | Estimate regime-switching models with fixed transition... |
| olssvd | linear regression using single value decomposition |
| plot.bvirf | Plotting Impulse-Response Functions |
| plot.fcbvar | plot forecasts |
| plot.fctvar | plot forecasts |
| plot.msirf | plot impulse-response functions for regime switchi models |
| plot_residuals | plot residuals |
| plot_residuals.bvar | plot residuals |
| plot_residuals.msvar | plot residuals |
| plot_residuals.tvar | plot residuals |
| plot.tvirf | plot impulse-response functions threshold VAR-Models |
| reexports | Objects exported from other packages |
| set_identification_cholesky | set cholesky identification |
| set_identification_sign | set identification via sign restrictions |
| set_prior_cnw | sets up conjugate Normal-Wishart prior |
| set_prior_minnesota | set up Minnesota Prior |
| set_prior_ssvs | set up Stochastic Search Variable Selection Prior |
| set_prior_uninformative | set up uninformative prior |
| splitVariables | function to split a series into two |
| stability | stability - test stability of estimate |
| structural.chol | identify a vector-autoregressive model using cholesky... |
| structural.sign | identify a vector-autoregressive model using... |
| tirf1 | parallel compuation of irfs of tvars |
| tvar | bayesian estimation of threshold VAR |
| USMonPol | Multivariate time series of federal funds rate, unemployment,... |
| var2vma | VMA representation of VAR estimate |
