bayesianVARs0.1.5 package

MCMC Estimation of Bayesian Vectorautoregressions

bvar

Markov Chain Monte Carlo Sampling for Bayesian Vectorautoregressions

coef

Extract VAR coefficients

fitted.bayesianVARs_bvar

Simulate fitted/predicted historical values for an estimated VAR model

my_gig

Draw from generalized inverse Gaussian

pairs_predict

Pairwise visualization of out-of-sample posterior predictive densities...

plot.bayesianVARs_bvar

Plot method for bayesianVARs_bvar

plot.bayesianVARs_fitted

Visualization of in-sample fit of an estimated VAR.

plot.bayesianVARs_predict

Fan chart

posterior_heatmap

Posterior heatmaps for VAR coefficients or variance-covariance matrice...

predict.bayesianVARs_bvar

Predict method for Bayesian VARs

print.bayesianVARs_bvar

Pretty printing of a bvar object

print.bayesianVARs_predict

Print method for bayesianVARs_predict objects

print.summary.bayesianVARs_bvar

Print method for summary.bayesianVARs_bvar objects

print.summary.bayesianVARs_predict

Print method for summary.bayesianVARs_predict objects

specify_prior_phi

Specify prior on PHI

specify_prior_sigma

Specify prior on Sigma

stable_bvar

Stable posterior draws

sub-.bayesianVARs_coef

Extract or Replace Parts of a bayesianVARs_coef object

sub-.bayesianVARs_draws

Extract or Replace Parts of a bayesianVARs_draws object

summary.bayesianVARs_bvar

Summary method for bayesianVARs_bvar objects

summary.bayesianVARs_draws

Summary statistics for bayesianVARs posterior draws.

summary.bayesianVARs_predict

Summary method for bayesianVARs_predict objects

vcov.bayesianVARs_bvar

Extract posterior draws of the (time-varying) variance-covariance matr...

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023) <doi:10.48550/arXiv.2206.04902>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.

  • Maintainer: Luis Gruber
  • License: GPL (>= 3)
  • Last published: 2024-11-13