# -------------------------------------------- # CITATION file created with {cffr} R package # See also: https://docs.ropensci.org/cffr/ # -------------------------------------------- cff-version: 1.2.0 message: 'To cite package "bsvars" in publications use:' type: software license: GPL-3.0-or-later title: 'bsvars: Bayesian Estimation of Structural Vector Autoregressive Models' version: '3.1' doi: 10.32614/CRAN.package.bsvars identifiers: - type: doi value: 10.32614/CRAN.package.bsvars abstract: Provides fast and efficient procedures for Bayesian analysis of Structural Vector Autoregressions. This package estimates a wide range of models, including homo-, heteroskedastic, and non-normal specifications. Structural models can be identified by adjustable exclusion restrictions, time-varying volatility, or non-normality. They all include a flexible three-level equation-specific local-global hierarchical prior distribution for the estimated level of shrinkage for autoregressive and structural parameters. Additionally, the package facilitates predictive and structural analyses such as impulse responses, forecast error variance and historical decompositions, forecasting, verification of heteroskedasticity, non-normality, and hypotheses on autoregressive parameters, as well as analyses of structural shocks, volatilities, and fitted values. Beautiful plots, informative summary functions, and extensive documentation complement all this. The implemented techniques align closely with those presented in Lütkepohl, Shang, Uzeda, & Woźniak (2024) , Lütkepohl & Woźniak (2020) , and Song & Woźniak (2021) . authors: - family-names: Woźniak given-names: Tomasz email: wozniak.tom@pm.me orcid: https://orcid.org/0000-0003-2212-2378 preferred-citation: type: manual title: 'bsvars: Bayesian Estimation of Structural Vector Autoregressive Models' authors: - family-names: Wo\'zniak given-names: Tomasz email: wozniak.tom@pm.me year: '2024' notes: R package version 3.1 url: https://CRAN.R-project.org/package=bsvars doi: 10.32614/CRAN.package.bsvars repository: https://CRAN.R-project.org/package=bsvars repository-code: https://github.com/bsvars/bsvars url: https://bsvars.github.io/bsvars/ date-released: '2024-07-14' contact: - family-names: Woźniak given-names: Tomasz email: wozniak.tom@pm.me orcid: https://orcid.org/0000-0003-2212-2378 references: - type: article title: 'Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference' authors: - family-names: Lütkepohl given-names: Helmut - family-names: Shang given-names: Fei - family-names: Uzeda given-names: Luis - family-names: Wo\'zniak given-names: Tomasz email: wozniak.tom@pm.me journal: University of Melbourne Working Papers year: '2024' doi: 10.48550/arXiv.2404.11057 start: '1' end: '57'