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bvartools (version 0.1.0)

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 Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) and Luetkepohl (2006, ISBN: 9783540262398).

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Version

Install

install.packages('bvartools')

Monthly Downloads

695

Version

0.1.0

License

GPL (>= 2)

Issues

3

Pull Requests

0

Stars

34

Forks

11

Maintainer

Franz X. Mohr

Last Published

September 18th, 2020

Functions in bvartools (0.1.0)

bvs

Bayesian Variable Selection
bvec

Bayesian Vector Error Correction Objects
add_priors

Add Priors to Model
draw_posterior

Posterior Simulation
bvarpost

Posterior Simulation for BVAR Models
bvecpost

Posterior Simulation for BVEC Models
bvec_to_bvar

Transform a VEC Model to a VAR in Levels
e1

West German economic time series data
bvartools

bvartools: Bayesian Inference of Vector Autoregressive Models
bvar

Bayesian Vector Autoregression Objects
kalman_dk

Durbin and Koopman Simulation Smoother
irf

Impulse Response Function
inclusion_prior

Prior Inclusion Probabilities
gen_var

Vector Autoregressive Model Input
ssvs

Stochastic Search Variable Selection
summary.bvarlist

Summarising Bayesian VAR Models
plot.bvarprd

Plotting Forecasts of BVAR Models
minnesota_prior

Minnesota Prior
summary.bvar

Summarising Bayesian VAR Coefficients
post_normal

Posterior Draw from a Normal Distribution
ssvs_prior

Stochastic Search Variable Selection Prior
loglik_normal

Calculates the log-likelihood of a multivariate normal distribution.
post_normal_sur

Posterior Draw from a Normal Distribution
gen_vec

Vector Error Correction Model Input
thin_posterior.bvec

Thinning Posterior Draws
post_coint_kls

Posterior Draw for Cointegration Models
fevd

Forecast Error Variance Decomposition
summary.bvec

Summarising Bayesian VEC Coefficients
e6

German interest and inflation rate data
thin_posterior.bvar

Thinning Posterior Draws
thin_posterior

Thinning Posterior Draws
thin_posterior.bvarlist

Thinning Posterior Draws
post_coint_kls_sur

Posterior Draw for Cointegration Models
us_macrodata

US macroeconomic data