BHSBVAR: Structural Bayesian Vector Autoregression Models

Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.

Version: 2.0.0
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr
Published: 2019-10-28
Author: Paul Richardson
Maintainer: Paul Richardson <p.richardson.54391 at gmail.com>
License: GPL (≥ 3)
NeedsCompilation: yes
Language: en-US
CRAN checks: BHSBVAR results

Downloads:

Reference manual: BHSBVAR.pdf
Vignettes: Structural Bayesian Vector Autoregression Models
Package source: BHSBVAR_2.0.0.tar.gz
Windows binaries: r-devel: BHSBVAR_2.0.0.zip, r-release: BHSBVAR_2.0.0.zip, r-oldrel: BHSBVAR_2.0.0.zip
OS X binaries: r-release: BHSBVAR_2.0.0.tgz, r-oldrel: BHSBVAR_2.0.0.tgz
Old sources: BHSBVAR archive

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