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