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bvartools (version 0.3.0)

Bayesian Inference of Vector Autoregressive and Error Correction Models

Description

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) and Luetkepohl (2006, ISBN: 9783540262398).

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install.packages('bvartools')

Monthly Downloads

443

Version

0.3.0

License

GPL (>= 2)

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Repository

https://github.com/franzmohr/bvartools

Maintainer

Franz X. Mohr

Last Published

September 11th, 2026

Functions in bvartools (0.3.0)

Bayesian Dynamic Factor Model Objects

draw_posterior.bvarmodel

Posterior Simulation

draw_posterior.dfmodel

Posterior Simulation

Posterior Simulation

draw_posterior.bvecmodel

Posterior Simulation for Vector Error Correction Models

covar_prepare_data

Covariance: Data Preparation

Posterior Simulation for Dynamic Factor Models

Posterior Simulation for BVEC Models

Bayesian Variable Selection

covar_vector_to_matrix

Covariance: Vector to Matrix

West German economic time series data

Forecast Error Variance Decomposition A generic function used to calculate forecast error varianc decompositions.

Vector Error Correction Model Input

inclusion_prior

Prior Inclusion Probabilities

Forecast Error Variance Decomposition

Vector Autoregressive Model Input

Durbin and Koopman Simulation Smoother

Dynamic Factor Model Input

Calculates the log-likelihood of a multivariate normal distribution.

Plotting Posterior Draws of Bayesian VAR or VEC Models

post_gamma_state_variance

Posterior Draws of Error Variances

Posterior Draw from a Normal Distribution

minnesota_prior

Minnesota Prior

German interest and inflation rate data

Posterior Draw for Cointegration Models

Plotting Forecasts of BVAR Models

Stochastic Search Variable Selection Prior

post_gamma_measurement_variance

Posterior Draws of Error Variances

Impulse Response Function

Impulse Response Function A generic function used to calculate impulse response functions.

Stochastic Volatility

post_coint_kls_sur

Posterior Draw for Cointegration Models

stochvol_ksc1998

Stochastic Volatility

Stochastic Search Variable Selection

post_normal_sur

Posterior Draw from a Normal Distribution

stochvol_ocsn2007

Stochastic Volatility

sur_const_to_tvp

SUR Matrix Transformation

Thinning Posterior Draws

US macroeconomic data

Thinning Posterior Draws

post_normal_covar_const

Posterior Simulation of Error Covariance Coefficients

Summarising Bayesian Dynamic Factor Models

Summarising Bayesian VEC Coefficients

summary.bvarlist

Summarising Bayesian VAR or VEC Models

Summarising Bayesian VAR Coefficients

Thinning Posterior Draws

Thinning Posterior Draws

post_normal_covar_tvp

Posterior Simulation of Error Covariance Coefficients

Bayesian Vector Autoregression Objects

add_priors.bvarmodel

Add Priors for a Vector Autoregressive Models

add_priors.bvecmodel

Add Priors for Vector Error Correction Models

Posterior Simulation for BVAR Models

add_priors.dfmodel

Add Priors to Dynamic Factor Model

Transform a VEC Model to a VAR in Levels

Add Priors to Bayesian Models A generic function used to generate prior specifications for a list of models. The function invokes particular methods which depend on the class of the first argument.

Bayesian Vector Error Correction Objects

bvartools-package

bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models