Simulate (univariate) Markov-switching autoregressive (MSAR) data
Quarterly U.S. GDP Growth, 1952Q3-1984Q4
Subset of Data from Brandt, Colaresi, and Freeman (2008)
Mean absolute error of VAR forecasts
Plots VAR forecasts and their empirical error bands
Print method for posterior fit measures
Bivariate Granger causality testing
Plots impulse responses
Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
Impulse Response Function (IRF) Computation for a VAR
Prints a list object for the VAR and BVAR models in MSBVAR
Summary measures and plots for MS-B(S)VAR state-spaces
Compare VAR forecasts to each other or real data
Log density for a Wishart variate
Empirical CDF computations for posterior forecast samples
Multivariate Normal Random Number Generator
Sims-Zha Bayesian VAR Prior Specification Search
Gibbs sampler for coefficients of a B-SVAR model
Printing DFEV tables
Plot a parameter density summary for B-SVAR A(0) objects
Plot function for forecasts
Markov-switching vector autoregression (MSVAR) estimator
Automated VAR lag specification testing
Random deviates from a Wishart distribution
Utility function for generating the restriction matrix for hard
condition forecasting
Root mean squared error of a Monte Carlo / MCMC sample of forecasts
Simulate a Markov-switching VAR (MSVAR) process
Gibbs sampler for a Markov-switching Bayesian reduced form
vector autoregression model
Likelihood normalization of SVAR models
Random draws from and density for Dirichlet distribution
Find the null space of a matrix
Estimation of a reduced form VAR model
Summary functions for forecasts obtained through VAR / BVAR /
B-SVAR model objects
Forecast density estimation of hard condition forecasts for VAR
models via MCMC
Plotting posteriors of Monte Carlo simulated impulse responses
Gibbs sampler for posterior of Bayesian structural vector
autoregression models
Structural Sims-Zha Bayesian VAR model estimation
Initializes the mode-finder for a Markov-switching Bayesian VAR model
Lag decay specification check
Clustering and plotting function for msbvar permuted sample output
Reduced form Sims-Zha Bayesian VAR model estimation
Generate forecasts for fitted VAR objects
Estimates the marginal likelihood or log posterior probability for
BVAR, BSVAR, and MSBVAR models
Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR
models via MCMC
State-space forward-filter and backwards-sampler for a
Markov-switching VAR model
Markov-switching Bayesian reduced form vector autoregression
model setup and posterior mode estimation
Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
Summary functions for VAR / BVAR / B-SVAR model objects
Converts A0 objects to coda MCMC objects
Mountain plots for summarizing forecast densities
Monte Carlo Integration / Simulation of Impulse Response
Functions