pesaranData

W.1316

This data set contains 151 quarterly observations by country, spanning the period from 1979Q2 to 2016Q4. It can be downloaded from <a href="https://sites.google.com/site/gvarmodelling/gvar-toolbox">https://sites.google.com/site/gvarmodelling/gvar-toolbox</a>. The country coverage is 33 countries.

datasets

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available.

Maximilian Boeck

BGVAR

Bayesian Global Vector Autoregressions

Martin Feldkircher

Florian Huber

Christopher Sims

pesaranData function

The data loads three objects <code>pesaranData</code>, which is a list object of length <code>N</code> (i.e, the number of countries) and <code>W.1316</code>, which is an <code>N</code> times <code>N</code> weight matrix with rowsums summing up to unity and zero elements on its diagonal. The global variable, oil prices, is included in the US country model as e.g., in Dees et al. (2007). The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual bilateral trade flows over the period from 2013 to 2016.<code>peseranData</code> contains the country data in logarithms, for more details, see below:<dl class="dl-horizontal">
 <dt><code>W.1316</code></dt><dd><code>N</code> times <code>N</code> weight matrix based on trade flows, rowsums equal unity.</dd>
 <dt><code>tA</code></dt><dd><code>N</code> times <code>N</code> times <code>T</code> array that contains the yearly, bilateral trade flows, which were used to construct <code>W.1316</code>.</dd>
 <dt><code>peseranData</code></dt><dd>is a list object of length <code>N</code> containing <ul>
<li><code>y</code> Real GDP.</li>
<li><code>Dp</code> Consumer price inflation.</li>
<li><code>eq</code> Equity prices.</li>
<li><code>stir</code> Short-term interest rate, typically 3-months money market rate.</li>
<li><code>ltir</code> Long-term interest rates, typically 10-year government bond yields.</li>
<li><code>poil</code> Price of oil.</li>
<li><code>pmetal</code> Price of metals.</li>
<li><code>pmat</code> Price of agricultural products.</li>
</ul></dd>
</dl>

Format

This data set contains 151 quarterly observations by country, spanning the period from 1979Q2 to 2016Q4. It can be downloaded from <a href='https://sites.google.com/site/gvarmodelling/gvar-toolbox'>https://sites.google.com/site/gvarmodelling/gvar-toolbox</a>. The country coverage is 33 countries.

pesaranData — pesaranData

The data loads three objects <code>pesaranData</code>, which is a list object of length <code>N</code> (i.e, the number of countries) and <code>W.1316</code>, which is an <code>N</code> times <code>N</code> weight matrix with rowsums summing up to unity and zero elements on its diagonal. The global variable, oil prices, is included in the US country model as e.g., in Dees et al. (2007). The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual bilateral trade flows over the period from 2013 to 2016.<code>peseranData</code> contains the country data in logarithms, for more details, see below:<dl class='dl-horizontal'>
 <dt><code>W.1316</code></dt><dd><code>N</code> times <code>N</code> weight matrix based on trade flows, rowsums equal unity.</dd>
 <dt><code>tA</code></dt><dd><code>N</code> times <code>N</code> times <code>T</code> array that contains the yearly, bilateral trade flows, which were used to construct <code>W.1316</code>.</dd>
 <dt><code>peseranData</code></dt><dd>is a list object of length <code>N</code> containing <ul>
<li><code>y</code> Real GDP.</li>
<li><code>Dp</code> Consumer price inflation.</li>
<li><code>eq</code> Equity prices.</li>
<li><code>stir</code> Short-term interest rate, typically 3-months money market rate.</li>
<li><code>ltir</code> Long-term interest rates, typically 10-year government bond yields.</li>
<li><code>poil</code> Price of oil.</li>
<li><code>pmetal</code> Price of metals.</li>
<li><code>pmat</code> Price of agricultural products.</li>
</ul></dd>
</dl>

pesaranData: pesaranData

Description

Usage

Arguments

Format