nb_svbvar: Notebook generator: Stochastic BVAR

In ooelrich/oscbvar: Stuff for Bayesian vector autoregressions

Description

Generates a notebook for BVAR models with stochastic volatility.

Usage

nb_svbvar(
  data = oscbvar::macrodata[, 1:7],
  agc = list(5, 60, TRUE, 1),
  lags = 1,
  include_intercept = TRUE
)

Arguments

data	Dataset from which to generate the notebook. Should include only the variables used by the model. Defaults to the macroeconomic data set from this package using all variables.
agc	List of atomic prediction generation controllers. The first element of the list gives the starting time (ie what observation is considered as t = 1), the second element is the minimum window length used for estimation, and the third one is a boolean indicating if the estimation window is rolling or not, the forth indicates which variable is the response variable and it defaults to 1 (GDP).
lags	The order of the VAR model. Defaults to 1.
include_intercept	Should the design matrix include an intercept? Defaults to TRUE.

Details

Uses the stochvol package with default priors.

ooelrich/oscbvar documentation built on Sept. 8, 2021, 3:31 p.m.