This package is considered a duplicate. The official version of this package is found at:https://luisgruber.r-universe.dev/bayesianVARs

Package: bayesianVARs 0.1.5

Luis Gruber

bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions

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>.

Authors:Luis Gruber [cph, aut, cre], Gregor Kastner [ctb]

bayesianVARs_0.1.5.tar.gz
bayesianVARs_0.1.5.tar.gz(r-4.5-noble)bayesianVARs_0.1.5.tar.gz(r-4.4-noble)
bayesianVARs.pdf |bayesianVARs.html✨
bayesianVARs/json (API)
NEWS

# Install 'bayesianVARs' in R:

install.packages('bayesianVARs', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/luisgruber/bayesianvars/issues

Pkgdown site:https://luisgruber.github.io

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3

Datasets:

usmacro_growth - Data from the US-economy

openblas cpp

3.40 score 1 stars 9 scripts 910 downloads 6 exports 23 dependencies

Last updated 1 months agofrom:f4eabc524e. Checks:OK: 1 WARNING: 1. Indexed: no.

Target	Result	Date
Doc / Vignettes	OK	Dec 14 2024
R-4.5-linux-x86_64	WARNING	Dec 14 2024

Exports:bvar my_gig posterior_heatmap specify_prior_phi specify_prior_sigma stable_bvar

Dependencies:cli coda colorspace corrplot factorstochvol farver GIGrvg glue labeling lattice lifecycle MASS munsell mvtnorm R6 RColorBrewer Rcpp RcppArmadillo RcppProgress rlang scales stochvol viridisLite

Shrinkage Priors for Bayesian Vectorautoregressions featuring Stochastic Volatility Using the R Package bayesianVARs

Rendered frombayesianVARs-vignette.Rmdusingknitr::rmarkdownon Dec 14 2024.

Last update: 2024-01-18
Started: 2024-01-14

Citation

Readme and manuals

Help Manual

Help page	Topics
Extract or Replace Parts of a bayesianVARs_coef object	[.bayesianVARs_coef
Extract or Replace Parts of a bayesianVARs_draws object	[.bayesianVARs_draws
Markov Chain Monte Carlo Sampling for Bayesian Vectorautoregressions	bvar
Extract VAR coefficients	coef coef.bayesianVARs_bvar
Simulate fitted/predicted historical values for an estimated VAR model	fitted.bayesianVARs_bvar
Draw from generalized inverse Gaussian	my_gig
Pairwise visualization of out-of-sample posterior predictive densities.	pairs.bayesianVARs_predict pairs_predict
Plot method for bayesianVARs_bvar	plot.bayesianVARs_bvar
Visualization of in-sample fit of an estimated VAR.	plot.bayesianVARs_fitted
Fan chart	plot.bayesianVARs_predict
Posterior heatmaps for VAR coefficients or variance-covariance matrices	posterior_heatmap
Predict method for Bayesian VARs	predict.bayesianVARs_bvar
Pretty printing of a bvar object	print.bayesianVARs_bvar
Print method for bayesianVARs_predict objects	print.bayesianVARs_predict
Print method for summary.bayesianVARs_bvar objects	print.summary.bayesianVARs_bvar
Print method for summary.bayesianVARs_predict objects	print.summary.bayesianVARs_predict
Specify prior on PHI	specify_prior_phi
Specify prior on Sigma	specify_prior_sigma
Stable posterior draws	stable_bvar
Summary method for bayesianVARs_bvar objects	summary.bayesianVARs_bvar
Summary statistics for bayesianVARs posterior draws.	summary.bayesianVARs_draws
Summary method for bayesianVARs_predict objects	summary.bayesianVARs_predict
Data from the US-economy	usmacro_growth
Extract posterior draws of the (time-varying) variance-covariance matrix for a VAR model	vcov.bayesianVARs_bvar