Package: bvarsv 1.1
Fabian Krueger
bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
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.
Authors:
bvarsv_1.1.tar.gz
bvarsv_1.1.tar.gz(r-4.5-noble)bvarsv_1.1.tar.gz(r-4.4-noble)
bvarsv_1.1.tgz(r-4.4-emscripten)bvarsv_1.1.tgz(r-4.3-emscripten)
bvarsv.pdf |bvarsv.html✨
bvarsv/json (API)
| # Install 'bvarsv' in R: |
| install.packages('bvarsv', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- usmacro - US Macroeconomic Time Series
- usmacro.update - US Macroeconomic Time Series
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 9 years agofrom:b5c8c14214. Checks:2 OK. Indexed: no.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Jan 10 2025 |
| R-4.5-linux-x86_64 | OK | Jan 10 2025 |
Exports:bvar.sv.tvpimpulse.responsesparameter.drawspredictive.densitypredictive.drawssim.var1.sv.tvp
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters | bvarsv-package bvarsv |
| Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters | bvar.sv.tvp |
| US Macroeconomic Time Series | usmacro usmacro.update |
| Helper Functions to Access BVAR Forecast Distributions and Parameter Draws | parameter.draws predictive.density predictive.draws |
| Compute Impulse Response Function from a Fitted Model | impulse.responses |
| Simulate from a VAR(1) with Stochastic Volatility and Time-Varying Parameters | sim.var1.sv.tvp |
