Markov-Switching 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.