Mountain plots for summarizing forecast densities
Bivariate Granger causality testing
Printing DFEV tables
Lag decay specification check
Likelihood normalization of SVAR models
Summary functions for VAR / BVAR / B-SVAR model objects
Compare VAR forecasts to each other or real data
Baum-Hamilton-Lindgren-Kim state-space filter
Estimation of a reduced form VAR model
Converts A0 objects to coda MCMC objects
Random draws from and density for Dirichlet distribution
Empirical CDF computations for posterior forecast samples
Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
Estimates the marginal likelihood and posterior probability for
VAR, BVAR, and BSVAR models
Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
Prints a list object for the VAR and BVAR models in MSBVAR
Gibbs sampler for coefficients of a B-SVAR model
Plots impulse responses
Utility function for generating the restriction matrix for hard
condition forecasting
Gibbs-Metropolis-Hastings sampler for posterior of a
Markov-switching Bayesian structural vector autoregression model
Impulse Response Function (IRF) Computation for a VAR
Plots competing sets of VAR forecasts or a single set of VAR forecasts
Forecast density estimation of hard condition forecasts for VAR
models via MCMC
Random deviates from a Wishart distribution
Mean absolute error of VAR forecasts
Find the null space of a matrix
Gibbs sampler for a Markov-switching Bayesian reduced form
vector autoregression model
Plotting posteriors of Monte Carlo simulated impulse responses
Root mean squared error of a Monte Carlo / MCMC sample of forecasts
Monte Carlo Integration / Simulation of Impulse Response Functions for
an MSBSVAR model.
Summary measures and plots for MS-B(S)VAR state-spaces
Subset of Data from Brandt, Colaresi, and Freeman (2007)
Generate forecasts for fitted VAR objects
Multivariate Normal Random Number Generator
Markov-switching Bayesian reduced form vector autoregression
model setup and posterior mode estimation
Gibbs sampler for posterior of Bayesian structural vector
autoregression models
Monte Carlo Integration / Simulation of Impulse Response
Functions
Markov-Switching Sims-Zha Bayesian VAR Model estimation
Reduced form Sims-Zha Bayesian VAR model estimation
Sims-Zha Bayesian VAR Prior Specification Search
Structural Sims-Zha Bayesian VAR model estimation
Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR
models via MCMC
Automated VAR lag specification testing
Print method for posterior fit measures
Plots VAR forecasts and their empirical error bands
Plot a parameter density summary for B-SVAR A(0) objects