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FAVAR (version 0.1.3)

Bayesian Analysis of a FAVAR Model

Description

Estimate a FAVAR model by a Bayesian method, based on Bernanke et al. (2005) .

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Version

Install

install.packages('FAVAR')

Monthly Downloads

268

Version

0.1.3

License

GPL-3

Maintainer

Pu Chen

Last Published

May 26th, 2022

Functions in FAVAR (0.1.3)

summary.favar

Print Results of FAVAR
tcode

Transformation Form for X
GI

Generalized Impulse Response Function (GIRF)
irf

Impulse Response Function for FAVAR
irf_single

Compute Impulse Response for Every Sample of MCMC
FAVAR

FAVAR
coef.favar

Extract Coefficients of a FAVAR Model
ar2ma

ar2ma
BGM

Separate \(R\) From \(X\)
BVAR

Bayesian Estimation of VAR
regdata

Sample Data
slowcode

Slow-moving or Not