us_fiscal_ex

Exogenous variables used to identify the US fiscal policy shocks.
Last data update was implemented on 2024-06-15.

datasets

Provides fast and efficient procedures for Bayesian analysis of Structural Vector Autoregressions. This package estimates a wide range of models, including homo-, heteroskedastic, and non-normal specifications. Structural models can be identified by adjustable exclusion restrictions, time-varying volatility, or non-normality. They all include a flexible three-level equation-specific local-global hierarchical prior distribution for the estimated level of shrinkage for autoregressive and structural parameters. Additionally, the package facilitates predictive and structural analyses such as impulse responses, forecast error variance and historical decompositions, forecasting, verification of heteroskedasticity, non-normality, and hypotheses on autoregressive parameters, as well as analyses of structural shocks, volatilities, and fitted values. Beautiful plots, informative summary functions, and extensive documentation complement all this. The implemented techniques align closely with those presented in Lütkepohl, Shang, Uzeda, & Woźniak (2024) <doi:10.48550/arXiv.2404.11057>, Lütkepohl & Woźniak (2020) <doi:10.1016/j.jedc.2020.103862>, and Song & Woźniak (2021) <doi:10.1093/acrefore/9780190625979.013.174>.

Tomasz Woźniak

bsvars

Bayesian Estimation of Structural Vector Autoregressive Models

us_fiscal_ex function

A matrix and a <code>ts</code> object with time series of over three hundred observations on 3 variables:<dl>
 <dt>t</dt>
<dd>a time trend</dd> <dt>t^2</dt>
<dd>a quadratic trend</dd> <dt>1975Q2</dt>
<dd>a dummy variable taking the value of 1 for quarter 2 1975 and zero elsewhere</dd>
</dl>The series are as described by Mertens &amp; Ravn (2014). The data was used by 
Lütkepohl, Shang, Uzeda, Woźniak (2024).

Format

A 3-variable system of exogenous variables for the US fiscal model for 
the period 1948 Q1 -- 2024 Q1 — us_fiscal_ex

A matrix and a <code>ts</code> object with time series of over three hundred observations on 3 variables:<dl>
 <dt>t</dt>
<dd>a time trend</dd>

 <dt>t^2</dt>
<dd>a quadratic trend</dd>

 <dt>1975Q2</dt>
<dd>a dummy variable taking the value of 1 for quarter 2 1975 and zero elsewhere</dd>


</dl>

The series are as described by Mertens &amp; Ravn (2014). The data was used by 
Lütkepohl, Shang, Uzeda, Woźniak (2024).

us_fiscal_ex: A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 -- 2024 Q1

Description

Usage

Arguments

Format

References

Examples