mf_usa

A dataset containing mixed-frequency data from FRED for three US macroeconomic variables.

datasets

Functions and tools for estimation of mixed-frequency Bayesian vector autoregressive (VAR) models. The package implements a state space-based VAR model that handles mixed frequencies of the data as proposed by Schorfheide and Song (2015) <doi:10.1080/07350015.2014.954707>, and extensions thereof developed by Ankargren, Unosson and Yang (2020) <doi:10.1515/jtse-2018-0034>, Ankargren and Joneus (2019) <arXiv:1912.02231>, and Ankargren and Joneus (2020) <doi:10.1016/j.ecosta.2020.05.007>. The models are estimated using Markov Chain Monte Carlo to numerically approximate the posterior distribution. Prior distributions that can be used include normal-inverse Wishart and normal-diffuse priors as well as steady-state priors. Stochastic volatility can be handled by common or factor stochastic volatility models.

Sebastian Ankargren

mfbvar

Mixed-Frequency Bayesian VAR Models

Yukai Yang

Gregor Kastner

mf_usa function

A list with components:<dl class="dl-horizontal">
 <dt>CPIAUCSL</dt><dd>inflation rate</dd>
 <dt>UNRATE</dt><dd>unemployment rate</dd>
 <dt>GDPC1</dt><dd>GDP growth rate</dd>
</dl>

Format

US Macroeconomic Data Set — mf_usa

A list with components:<dl class='dl-horizontal'>
 <dt>CPIAUCSL</dt><dd>inflation rate</dd>
 <dt>UNRATE</dt><dd>unemployment rate</dd>
 <dt>GDPC1</dt><dd>GDP growth rate</dd>
</dl>

mf_usa: US Macroeconomic Data Set

Description

Usage

Arguments

Format