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