bvartools

Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2007, ISBN: 9783540262398).

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Description file content

Package
bvartools
Title
Bayesian Inference of Vector Autoregressive Models
Version
0.0.2
Date
2019-08-19
Description
Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) and Luetkepohl (2007, ISBN: 9783540262398).
License
GPL (>= 2)
Depends
R (>= 3.3.0)
Imports
coda, grDevices, graphics, Rcpp (>= 0.12.14), stats
LinkingTo
Rcpp, RcppArmadillo
Encoding
UTF-8
RoxygenNote
6.1.1
URL
BugReports
https://github.com/franzmohr/bvartools/issues
Suggests
knitr, rmarkdown
VignetteBuilder
knitr
NeedsCompilation
yes
Packaged
2019-08-20 06:47:11 UTC; franz
Author
Franz X. Mohr [aut, cre]
Maintainer
Franz X. Mohr
Repository
CRAN
Date/Publication
2019-08-20 12:00:05 UTC

install.packages('bvartools')

0.0.2

5 days ago

https://github.com/franzmohr/bvartools

Franz X. Mohr

GPL (>= 2)

Depends on

R (>= 3.3.0)

Imports

coda, grDevices, graphics, Rcpp (>= 0.12.14), stats

Suggests

knitr, rmarkdown

Discussions