Compare VAR forecasts to each other or real data
Find the null space of a matrix
Mean absolute error of VAR forecasts
Prints a list object for the VAR and BVAR models in MSBVAR
Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
Mountain plots for summarizing forecast densities
Bivariate Granger causality testing
Empirical CDF computations for posterior forecast samples
Quarterly U.S. GDP Growth, 1952Q3-1984Q4
Gibbs sampler for posterior of Bayesian structural vector
autoregression models
Plot a parameter density summary for B-SVAR A(0) objects
Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
Summary measures and plots for MS-B(S)VAR state-spaces
Plots VAR forecasts and their empirical error bands
Log density for a Wishart variate
Gibbs sampler for coefficients of a B-SVAR model
Subset of Data from Brandt, Colaresi, and Freeman (2008)
Initializes the mode-finder for a Markov-switching Bayesian VAR model
Monte Carlo Integration / Simulation of Impulse Response
Functions
Sims-Zha Bayesian VAR Prior Specification Search
Gibbs sampler for a Markov-switching Bayesian reduced form
vector autoregression model
Markov-switching Bayesian reduced form vector autoregression
model setup and posterior mode estimation
Forecast density estimation of hard condition forecasts for VAR
models via MCMC
State-space forward-filter and backwards-sampler for a
Markov-switching VAR model
Generate forecasts for fitted VAR objects
Automated VAR lag specification testing
Random draws from and density for Dirichlet distribution
Simulate (univariate) Markov-switching autoregressive (MSAR) data
Printing DFEV tables
Root mean squared error of a Monte Carlo / MCMC sample of forecasts
Estimation of a reduced form VAR model
Utility function for generating the restriction matrix for hard
condition forecasting
Plots impulse responses
Summary functions for forecasts obtained through VAR / BVAR /
B-SVAR model objects
Estimates the marginal likelihood or log posterior probability for
BVAR, BSVAR, and MSBVAR models
Random deviates from a Wishart distribution
Reduced form Sims-Zha Bayesian VAR model estimation
Likelihood normalization of SVAR models
Markov-switching vector autoregression (MSVAR) estimator
Converts A0 objects to coda MCMC objects
Plot function for forecasts
Color plot of MSBVAR impulse response functions
Regime probability summaries and regime duration estimates based
on MCMC output for MSBVAR models
Multivariate Normal Random Number Generator
Lag decay specification check
Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR
models via MCMC
Impulse Response Function (IRF) Computation for a VAR
Simulate a Markov-switching VAR (MSVAR) process
Clustering and plotting function for msbvar permuted sample output
Summary functions for VAR / BVAR / B-SVAR model objects
Structural Sims-Zha Bayesian VAR model estimation
Plotting posteriors of Monte Carlo simulated impulse responses
Print method for posterior fit measures