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MSBVAR (version 0.5.0)

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. Current version includes functionality to build models with Markov switching.

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Version

Install

install.packages('MSBVAR')

Monthly Downloads

19

Version

0.5.0

License

GPL (>= 2)

Maintainer

Patrick Brandt

Last Published

August 7th, 2010

Functions in MSBVAR (0.5.0)

normalize.svar

Likelihood normalization of SVAR models
summary.forecast

Summary functions for forecasts obtained through VAR / BVAR / B-SVAR model objects
restmtx

Utility function for generating the restriction matrix for hard condition forecasting
plot.irf

Plots impulse responses
mcmc.szbsvar

Gibbs sampler for coefficients of a B-SVAR model
rdirichlet

Random draws from and density for Dirichlet distribution
reduced.form.var

Estimation of a reduced form VAR model
BHLK.filter

Baum-Hamilton-Lindgren-Kim state-space filter
forc.ecdf

Empirical CDF computations for posterior forecast samples
print.posterior.fit

Print method for posterior fit measures
rwishart

Random deviates from a Wishart distribution
A02mcmc

Converts A0 objects to coda MCMC objects
plot.forecast

Plot function for forecasts
mae

Mean absolute error of VAR forecasts
var.lag.specification

Automated VAR lag specification testing
cf.forecasts

Compare VAR forecasts to each other or real data
print.dfev

Printing DFEV tables
plot.gibbs.A0

Plot a parameter density summary for B-SVAR A(0) objects
decay.spec

Lag decay specification check
mountains

Mountain plots for summarizing forecast densities
SZ.prior.evaluation

Sims-Zha Bayesian VAR Prior Specification Search
gibbs.msbvar

Gibbs sampler for a Markov-switching Bayesian reduced form vector autoregression model
forecast

Generate forecasts for fitted VAR objects
mean.SS

Summary measures and plots for MS-B(S)VAR state-spaces
list.print

Prints a list object for the VAR and BVAR models in MSBVAR
plot.mc.irf

Plotting posteriors of Monte Carlo simulated impulse responses
plot.forc.ecdf

Plots VAR forecasts and their empirical error bands
rmultnorm

Multivariate Normal Random Number Generator
SS.draw

State-space filter and sampler for a Markov-switching VAR model
granger.test

Bivariate Granger causality testing
szbvar

Reduced form Sims-Zha Bayesian VAR model estimation
null.space

Find the null space of a matrix
rmse

Root mean squared error of a Monte Carlo / MCMC sample of forecasts
summary

Summary functions for VAR / BVAR / B-SVAR model objects
gibbs.A0

Gibbs sampler for posterior of Bayesian structural vector autoregression models
posterior.fit

Estimates the marginal likelihood and posterior probability for VAR, BVAR, and BSVAR models
mc.irf

Monte Carlo Integration / Simulation of Impulse Response Functions
dfev

Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
BCFdata

Subset of Data from Brandt, Colaresi, and Freeman (2007)
hc.forecast

Forecast density estimation of hard condition forecasts for VAR models via MCMC
IsraelPalestineConflict

Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
szbsvar

Structural Sims-Zha Bayesian VAR model estimation
msbvar

Markov-switching Bayesian reduced form vector autoregression model setup and posterior mode estimation
ldwishart

Log density for a Wishart variate
irf

Impulse Response Function (IRF) Computation for a VAR
uc.forecast

Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR models via MCMC