bvartools: Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2007, ISBN: 9783540262398).

Version: 0.0.2
Depends: R (≥ 3.3.0)
Imports: coda, grDevices, graphics, Rcpp (≥ 0.12.14), stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2019-08-20
Author: Franz X. Mohr [aut, cre]
Maintainer: Franz X. Mohr <bvartools at outlook.com>
BugReports: https://github.com/franzmohr/bvartools/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/franzmohr/bvartools
NeedsCompilation: yes
Citation: bvartools citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: bvartools results

Downloads:

Reference manual: bvartools.pdf
Vignettes: Bayesian Structural Vector Autoregression
Introduction to bvartools
Bayesian Error Correction Models with Priors on the Cointegration Space
Stochastic Search Variable Selection
Package source: bvartools_0.0.2.tar.gz
Windows binaries: r-devel: bvartools_0.0.2.zip, r-devel-gcc8: bvartools_0.0.2.zip, r-release: bvartools_0.0.2.zip, r-oldrel: bvartools_0.0.2.zip
OS X binaries: r-release: bvartools_0.0.2.tgz, r-oldrel: bvartools_0.0.2.tgz
Old sources: bvartools archive

Linking:

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