Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage
Kernel density plots of posterior distribution for hyperparameters of ...
Calculate fitted historical values for an estimated TVP-VAR-SV model
Draw from posterior predictive density of a fitted TVP-VAR-SV model
Generate TVP_params that can be used as input for a TVP-VAR-SV model
Plotting method for mcmc.tvp.var objects
Plotting method for mcmc.var objects
Graphical summary of posterior distribution of fitted values for TVP-V...
Graphical summary of posterior predictive density for TVP-VAR-SV model
Plotting method for shrinkTVPVAR objects
Nicer printing of shrinkTVPVAR objects
Markov Chain Monte Carlo (MCMC) for TVP-VAR-SV models with shrinkage
Generate synthetic data from a TVP-VAR-SV model
Graphical summary of posterior distribution for a time-varying coeffic...
Heatmap of hyperparameters of time-varying coefficient matrix in a TVP...
Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.