Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
Bayesian Analysis of a Vector Autoregressive Model with Stochastic Vol...
Bayesian Analysis of a Vector Autoregressive Model with Stochastic Vol...
Helper Functions to Access BVAR Forecast Distributions and Parameter D...
Compute Impulse Response Function from a Fitted Model
Simulate from a VAR(1) with Stochastic Volatility and Time-Varying Par...
R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.