⚠️There's a newer version (0.9-2) of this package. Take me there.

MSBVAR (version 0.2.0)

Bayesian Vector Autoregression Models

Description

Provides methods for estimating frequentist and Bayesian Vector Autoregression (VAR) models. Functions for reduced form and structural VAR models are also available. 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 some models with Markov switching.

Copy Link

Version

Down Chevron

Install

install.packages('MSBVAR')

Monthly Downloads

208

Version

0.2.0

License

GPL version 2 or newer

Maintainer

Last Published

July 16th, 2006

Functions in MSBVAR (0.2.0)