bvartvp: BVAR with Time-Varying Coefficients.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

Estimate a Bayesian VAR with time-varying coefficients.

Usage

bvar_obj <- new(bvartvp)

Details

For technical details of the model, see the accompanying vignette.

Author(s)

Keith O'Hara

References

Koop, Gary and Dimitris Korobilis, “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Mimeo, 2010.

See Also

IRF.bvartvp, plot.bvartvp.

Examples

## Not run: 
data(BMRVARData)
bvar_data <- data.matrix(USMacroData[,2:4])

#

tau <- 80

XiBeta <- 4
XiQ <- 0.005
gammaQ <- tau
XiSigma <- 1
gammaS = 4

which_irfs = c(17,53,89,125)

bvar_obj <- new(bvartvp)

#

bvar_obj$build(bvar_data,TRUE,1)
bvar_obj$prior(tau,XiBeta,XiQ,gammaQ,XiSigma,gammaS)
bvar_obj$gibbs(10000,5000)

IRF(bvar_obj,20,which_irfs,var_names=colnames(USMacroData),save=FALSE)
plot(bvar_obj,var_names=colnames(USMacroData),save=FALSE)


## End(Not run)

kthohr/BMR documentation built on May 20, 2019, 7:04 p.m.