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bvartools (version 0.2.4)

Bayesian Inference of Vector Autoregressive and Error Correction Models

Description

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) 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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Install

install.packages('bvartools')

Monthly Downloads

570

Version

0.2.4

License

GPL (>= 2)

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Repository

https://github.com/franzmohr/bvartools

Maintainer

Franz X. Mohr

Last Published

January 8th, 2024

Functions in bvartools (0.2.4)

add_priors.dfmodel

Add Priors to Dynamic Factor Model

bvartools-package

bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

add_priors.bvarmodel

Add Priors for a Vector Autoregressive Models

Transform a VEC Model to a VAR in Levels

Add Priors to Bayesian Models A generic function used to generate prior specifications for a list of models. The function invokes particular methods which depend on the class of the first argument.

Posterior Simulation for BVAR Models

Bayesian Vector Error Correction Objects

add_priors.bvecmodel

Add Priors for Vector Error Correction Models

Bayesian Vector Autoregression Objects

German interest and inflation rate data

Posterior Simulation for Dynamic Factor Models

draw_posterior.bvecmodel

Posterior Simulation for Vector Error Correction Models

draw_posterior.dfmodel

Posterior Simulation

draw_posterior.bvarmodel

Posterior Simulation

Bayesian Variable Selection

Bayesian Dynamic Factor Model Objects

Posterior Simulation for BVEC Models

Posterior Simulation

West German economic time series data

inclusion_prior

Prior Inclusion Probabilities

Dynamic Factor Model Input

Durbin and Koopman Simulation Smoother

Vector Error Correction Model Input

Vector Autoregressive Model Input

Calculates the log-likelihood of a multivariate normal distribution.

Forecast Error Variance Decomposition

Forecast Error Variance Decomposition A generic function used to calculate forecast error varianc decompositions.

Impulse Response Function A generic function used to calculate impulse response functions.

Stochastic Search Variable Selection

post_normal_covar_tvp

Posterior Simulation of Error Covariance Coefficients

Plotting Forecasts of BVAR Models

minnesota_prior

Minnesota Prior

post_normal_covar_const

Posterior Simulation of Error Covariance Coefficients

Posterior Draw for Cointegration Models

Posterior Draw from a Normal Distribution

summary.bvarlist

Summarising Bayesian VAR or VEC Models

post_normal_sur

Posterior Draw from a Normal Distribution

Summarising Bayesian VEC Coefficients

Stochastic Volatility

stochvol_ksc1998

Stochastic Volatility

Plotting Posterior Draws of Bayesian VAR or VEC Models

post_coint_kls_sur

Posterior Draw for Cointegration Models

Summarising Bayesian VAR Coefficients

Impulse Response Function

US macroeconomic data

Summarising Bayesian Dynamic Factor Models

Stochastic Search Variable Selection Prior

Thinning Posterior Draws

Thinning Posterior Draws

stochvol_ocsn2007

Stochastic Volatility

Thinning Posterior Draws

Thinning Posterior Draws