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bvartools (version 0.2.0)

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

0.2.0

License

GPL (>= 2)

Issues

3

Pull Requests

0

Stars

34

Forks

11

Maintainer

Franz X. Mohr

Last Published

April 25th, 2021

Functions in bvartools (0.2.0)

bem_dfmdata

FRED-QD data
add_priors.dfmodel

Add Priors to Dynamic Factor Model
bvartools

bvartools: Bayesian Inference of Vector Autoregressive Models
bvec

Bayesian Vector Error Correction Objects
add_priors.bvecmodel

Add Priors to Model
bvar

Bayesian Vector Autoregression Objects
add_priors

Add Priors to Model
add_priors.bvarmodel

Add Priors to Model
bvarpost

Posterior Simulation for BVAR Models
bvec_to_bvar

Transform a VEC Model to a VAR in Levels
e6

German interest and inflation rate data
post_coint_kls_sur

Posterior Draw for Cointegration Models
post_normal

Posterior Draw from a Normal Distribution
summary.bvarlist

Summarising Bayesian VAR Models
gen_var

Vector Autoregressive Model Input
bvecpost

Posterior Simulation for BVEC Models
kalman_dk

Durbin and Koopman Simulation Smoother
post_normal_sur

Posterior Draw from a Normal Distribution
gen_dfm

Dynamic Factor Model Input
irf

Impulse Response Function
bvs

Bayesian Variable Selection
draw_posterior

Posterior Simulation
fevd

Forecast Error Variance Decomposition
summary.dfm

Summarising Bayesian Dynamic Factor Models
summary.bvec

Summarising Bayesian VEC Coefficients
loglik_normal

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

Minnesota Prior
post_coint_kls

Posterior Draw for Cointegration Models
dfm

Bayesian Dynamic Factor Model Objects
dfmpost

Posterior Simulation for Dynamic Factor Models
plot.bvarprd

Plotting Forecasts of BVAR Models
summary.bvar

Summarising Bayesian VAR Coefficients
ssvs_prior

Stochastic Search Variable Selection Prior
us_macrodata

US macroeconomic data
ssvs

Stochastic Search Variable Selection
thin_posterior.bvec

Thinning Posterior Draws
thin_posterior.dfm

Thinning Posterior Draws
thin_posterior.bvar

Thinning Posterior Draws
thin_posterior.bvarlist

Thinning Posterior Draws
thin_posterior

Thinning Posterior Draws
gen_vec

Vector Error Correction Model Input
e1

West German economic time series data
inclusion_prior

Prior Inclusion Probabilities