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bvarsv (version 1.0)

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

Description

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.

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Version

Install

install.packages('bvarsv')

Monthly Downloads

754

Version

1.0

License

GPL (>= 2)

Maintainer

Fabian Krueger

Last Published

August 28th, 2014

Functions in bvarsv (1.0)

sim.var1.sv.tvp

Simulate from a VAR(1) with Stochastic Volatility and Time-Varying Parameters
bvarsv-package

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
helpers

Helper Functions to Access BVAR Forecast Distributions
bvar.sv.tvp

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
usmacro

US Macroeconomic Time Series