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bvartools (version 0.0.1)

Bayesian Inference of Vector Autoregressive Models

Description

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) and Luetkepohl (2007, ISBN: 9783540262398).

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Install

install.packages('bvartools')

Monthly Downloads

570

Version

0.0.1

License

GPL (>= 2)

Issues

3

Pull Requests

0

Stars

34

Forks

11

Maintainer

Franz X. Mohr

Last Published

June 11th, 2019

Functions in bvartools (0.0.1)

bvartools

bvartools: Bayesian Inference of Vector Autoregressive Models
plot.bvarprd

Plotting Forecasts of BVAR Models
post_coint_kls_sur

Posterior Draw for Cointegration Models
post_coint_kls

Posterior Draw for Cointegration Models
ssvs

Stochastic Search Variable Selection
post_normal_sur

Posterior Draw from a Normal Distribution
thin

Thinning Posterior Draws
post_normal

Posterior Draw from a Normal Distribution
kalman_dk

Durbin and Koopman Simulation Smoother
irf

Impulse Response Function
bvar

Bayesian Vector Autoregression Objects
bvec_to_bvar

Transform a VECM to VAR in levels
fevd

Forecast Error Variance Decomposition
bvs

Bayesian Variable Selection
gen_var

Vector Autoregressive Model Input
e6

German interest and inflation rate data
e1

West German economic time series data
bvec

Bayesian Vector Error Correction Objects
gen_vec

Vector Error Correction Model Input