Structural Bayesian Vector Autoregression Models
Structural Bayesian Vector Autoregression
BHSBVAR: Structural Bayesian Vector Autoregression Models
Plot Posterior Distributions Against Priors
Plot Forecast Error Variance Decompositions
Forecast Error Variance Decompositions
Plot Historical Decompositions
Historical Decompositions
Plot Impulse Responses
Impulse Responses
Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.