NEWS.md

In nk027/bvar: Hierarchical Bayesian Vector Autoregression

v1.0.5, CRAN Update 10

• Add historical decompositions and RMSE/LPS, and WAIC for analysis
• Improve the algorithm to draw sign restrictions
• Shocks are now built and checked per variable
• Fix the CRAN NOTE on missing "tangle output"
• Update FRED-datasets to 2023-10 vintage
• Newer FRED-QD files include (unannounced) small naming changes

v1.0.4, CRAN Update 9

• Fix bug from last update, where automatic ARIMA-priors where sqrt'd twice
• Thanks to Michael Wolf for pointing this out, and
• many thanks to Nirai Tomass for discovering the bug
• Update FRED-MD and FRED-QD datasets to the 2023-02 vintage

v1.0.3, CRAN Update 8

• Fix bug where warnings caused an error during automatic ARIMA-based priors
• Thanks to Martin Feldkircher for pointing this out

v1.0.2, CRAN Update 7 / JSS Release

• Add DOI in the CITATION file for a new JSS publication
• DOI will be registered after publication on CRAN
• References now use the DOI interface instead of URLs
• Update FRED-QD and FRED-MD datasets to 2021-10
• Fix minor issues with vignette (e.g. fixed dataset, references, etc)
• Add verbosity to ARIMA-based automatic prior settings
• Add hook to simplify use of shared generics with vars
• Add README file to the package with correct URLs

v1.0.1, CRAN Update 6

• Add identification via zero and sign restrictions
• Update CITATION with the forthcoming JSS reference
• Prepare for tidy outputs in BVARverse
• Fix minor bugs and typos (internal checks, documentation, and vignette)

v1.0.0, CRAN Update 5 / JSS Revision 2

• Add fancy vignette with background and demonstrations
• Add new features
• New FRED-MD database and updated FRED-QD (data("fred_md"))
• Transformation helper functions (fred_transform(), fred_code())
• Add Conditional forecasting (see ?bv_fcast())
• New replacement functions for irf() and predict() (irf(x) <- irf(x))
• Provide wrapper for parallelised execution (par_bvar())
• Improve existing features
• Enhance IRF and forecast plotting
  • area argument adds polygons for credible intervals
  • t_back allows adding realised values before forecasts
  • col and fill arguments allow changing colours
  • transparence is applied to sequential lines / polygons
  • Improved x-axis labelling
• Regex may be used for vars, vars_response, and vars_impulse
• New type for coef(), fitted(), etc, to retrieve means / quantiles
• Add constructors for the prior mean b argument in bv_mn()
• Auto psi now allows for one order of integration
• Enhance speed considerably (~2-10 times faster)
• Move IRF and forecasts out of MCMC
• Capitalise upon matrix properties
• Cached and customised multivariate normal drawing
• Optimised FEVD computation
• Fix bugs
• IRF calculation is now ordered properly (please recalculate)
• coda methods are now proper methods (potential issue on Windows)
• Vectorised scale_hess now works properly
• Remove deprecated functions and arguments
• Work on documentation and examples
• Update citation information
• Improve upon internal structure
• Unit tests with tinytest for development (skipped on CRAN)
• Outsource additional steps to dedicated functions
• More robustness checks and add verbosity to errors
• Tested extensively on R 4.0.0 and R 3.6.3

v0.2.2, CRAN Update 4 / Impulse Response Hotfix

• Fix impulse response calculation (stray transpose of coefficients)
• Thanks, Maximilian Böck for helping us track this down
• Add some verbosity to error messages
• Prepare for next major release
• Include messages about future extensions and changes of FEVDs
• Update docs on future construction of sign restrictions
• Update docs on prediction and IRFs in bvar()
• Add FRED-MD co-author Serena Ng to data contributors

v0.2.1, CRAN Update 3 / FRED-QD ODC-BY 1.0

• Clarify exact ToU of the FRED-QD dataset with St. Louis Fed
• Comply with the new modified ODC-BY 1.0 for FRED-QD
• Mention and add license to LICENSE file (linked in DESCRIPTION)
• Add the copyrighted series we are allowed to use
• Mention updates and license in the data documentation
• Fix and improve documentation

v0.2.0, CRAN Update 2 / JSS Revision 1

• Extend methods further
• Add summary() methods for bvar, bvar_irf and bvar_fcast
• Add as.mcmc method to interface with coda
• Support hyperparameters and coefficients in plot.bvar() and density()
• Add companion() method to retrieve the companion matrix
• Improve ylim of plot.bvar() density plots with multiple chains
• Add logLik() method for bvar objects
• Fix bv_psi() errors for modes other than "auto"
• Change fcast and irf defaults of bvar() to NULL
• Move from MASS to mvtnorm for dmvnorm() (used in logLik())
• Be more specific in error messages
• Add coda to suggestions for convergence assessment etc.
• Add files LICENSE, CITATION and NEWS.md
• Improve examples for further test coverage
• R CMD check --run-donttest: One warning (deprecated functions)

v0.1.6, Internal Release 1

• Prepare for minor release 0.2.0
• Provide several standard methods for objects generated with BVAR
• predict() for ex-post forecasts and updating quantiles
• irf() / fevd() for ex-post irfs, fevds and updating quantiles
• fitted(), residuals(), coef() and vcov()
• density() as shorthand for calling density() on hyperparameters
• Add print() methods for intermediate objects
• Includes bv_minnesota, bv_metropolis and method outputs
• Rework plotting
• plot.bvar() now supports types, subsets and multiple chains
• Deprecate bv_plot_trace() and bv_plot_density()
  • Add density(), including a plot method
  • Replace by plot.bvar(), incl. plotting of multiple chains
• Change plotting of bvar_fcast and bvar_irf
  • Deprecate bv_plot_irf(x) for plot(x$irf) or plot(irf(x))
  • Move conf_bands argument to predict() / irf()
• Add plot methods for bvar_resid and bvar_density
• Add sign_lim to bv_irf() to set maximum number of sign restriction draws
• Standardise prior construction further
• Align alpha and lambda, improve psi alignment
• bv_mn() may be called with a numeric vector for alpha and/or lambda
• Improve documentation
• Document related functions in joint
• Add details on priors
• Add less concise aliases for bv_mh() and bv_mn()
• bv_metropolis() and bv_minnesota()
• Fix bugs related to single confidence bands at 0.5
• Save fred_qd with format version 2, lowering R dependency to (>= 3.3.0)
• Add vars to suggests for shared methods, import is bypassed

v0.1.5, CRAN Update 1

• Try to clarify licensing terms with the Federal Reserve
• Some copyrighted series may have to be removed
• Subset the dataset to only include variables in public domain for now
• Fix addition of prior pdfs to ML
• alpha needs an sd parameter
• psi now needs proper shape and scale parameters
• Add normalising constant
• Add lines to all density plots (when supplied via ellipsis)
• Add documentation on using scale_hess as a vector
• Add two pre-constructed dummy priors bv_soc() and bv_sur()
• Further split up calculation of marginal likelihood

v0.1.3, CRAN Submission

• Update DESCRIPTION with linked DOI
• Change \dontrun{} examples to \donttest{}
• Fix bounds in plot_hyper()
• Update references with links via DOI
• Add and improve examples for print and plot methods
• R CMD check --as-cran: No errors or warnings, one note (New submission)

nk027/bvar documentation built on Nov. 16, 2024, 10:03 a.m.