BVAR

Hierarchical Bayesian Vector Autoregression

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.

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Description file content

Package
BVAR
Type
Package
Title
Hierarchical Bayesian Vector Autoregression
Version
0.1.5
Date
2019-06-30
Author
Nikolas Kuschnig [aut, cre], Lukas Vashold [aut], Michael McCracken [dtc] (author of the FRED-QD dataset)
Maintainer
Nikolas Kuschnig
Description
Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) . Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.
URL
BugReports
https://github.com/nk027/bvar/issues
Depends
R (>= 3.5.0)
Imports
MASS, stats, graphics, utils
License
GPL-3
Encoding
UTF-8
LazyData
true
RoxygenNote
6.1.1
NeedsCompilation
no
Packaged
2019-07-09 09:45:45 UTC; nikolas
Repository
CRAN
Date/Publication
2019-07-09 10:30:04 UTC

install.packages('BVAR')

0.1.5

9 days ago

https://github.com/nk027/bvar

Nikolas Kuschnig

GPL-3

Depends on

R (>= 3.5.0)

Imports

MASS, stats, graphics, utils

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