Bayesian Vector Autoregression Models, Impulse Responses and Forecasting.
Description
Provides methods for estimating frequentist and
Bayesian Vector Autoregression (VAR) models. Also includes
methods for the generating posterior inferences for VAR
forecasts, impulse responses (using likelihood-based error bands),
and forecast error decompositions. Also includes utility functions
for plotting forecasts and impulse responses, and generating draws
from Wishart and singular multivariate normal densities. Future
versions will include Bayesian Structural VAR (B-SVAR) models and
possibly some models with Markov switching.