Package: bvartools 0.2.4.9000

bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).

Authors:Franz X. Mohr [aut, cre]

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bvartools/json (API)
NEWS

# Install 'bvartools' in R:
install.packages('bvartools', repos = c('https://franzmohr.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/franzmohr/bvartools/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • bem_dfmdata - FRED-QD data
  • e1 - West German economic time series data
  • e6 - German interest and inflation rate data
  • us_macrodata - US macroeconomic data

On CRAN:

bayesianbayesian-inferencebayesian-varbvarbvecmgibbs-samplingmcmcvector-autoregressionvector-error-correction-model

7.46 score 29 stars 1 packages 33 scripts 556 downloads 1 mentions 61 exports 5 dependencies

Last updated 10 months agofrom:1b546fea21. Checks:ERROR: 1 OK: 8. Indexed: yes.

TargetResultDate
Doc / VignettesFAILOct 11 2024
R-4.5-win-x86_64OKOct 11 2024
R-4.5-linux-x86_64OKOct 11 2024
R-4.4-win-x86_64OKOct 11 2024
R-4.4-mac-x86_64OKOct 11 2024
R-4.4-mac-aarch64OKOct 11 2024
R-4.3-win-x86_64OKOct 11 2024
R-4.3-mac-x86_64OKOct 11 2024
R-4.3-mac-aarch64OKOct 11 2024

Exports:add_priorsadd_priors.bvarmodeladd_priors.bvecmodeladd_priors.dfmodelbvarbvarpostbvecbvec_to_bvarbvecpostbvscovar_prepare_datacovar_vector_to_matrixdfmdfmpostdraw_posteriordraw_posterior.bvarmodeldraw_posterior.bvecmodeldraw_posterior.dfmodelfevdfevd.bvargen_dfmgen_vargen_vecinclusion_priorirfirf.bvarkalman_dkloglik_normalminnesota_priorplot.bvarplot.bvarfevdplot.bvarirfplot.bvarlistplot.bvarprdplot.bvecplot.dfmpost_coint_klspost_coint_kls_surpost_gamma_measurement_variancepost_gamma_state_variancepost_normalpost_normal_covar_constpost_normal_covar_tvppost_normal_surpredict.bvarprint.summary.bvarprint.summary.bvecssvsssvs_priorstoch_volstochvol_ksc1998stochvol_ocsn2007summary.bvarsummary.bvarlistsummary.bvecsummary.dfmsur_const_to_tvpthin.bvarthin.bvarlistthin.bvecthin.dfm

Dependencies:codalatticeMatrixRcppRcppArmadillo

Bayesian Error Correction Models with Priors on the Cointegration Space

Rendered frombvec.Rmdusingknitr::rmarkdownon Oct 11 2024.

Last update: 2021-11-08
Started: 2019-03-24

Introduction to bvartools

Rendered frombvartools.Rmdusingknitr::rmarkdownon Oct 11 2024.

Last update: 2021-11-06
Started: 2019-02-07

Model Comparison in bvartools

Rendered frommodel-comparison.Rmdusingknitr::rmarkdownon Oct 11 2024.

Last update: 2021-11-08
Started: 2020-09-17

Stochastic Search Variable Selection in bvartools

Rendered fromssvs.Rmdusingknitr::rmarkdownon Oct 11 2024.

Last update: 2021-11-06
Started: 2019-02-17

Readme and manuals

Help Manual

Help pageTopics
Add Priors to Bayesian Models A generic function used to generate prior specifications for a list of models. The function invokes particular methods which depend on the class of the first argument.add_priors
Add Priors for a Vector Autoregressive Modelsadd_priors.bvarmodel
Add Priors for Vector Error Correction Modelsadd_priors.bvecmodel
Add Priors to Dynamic Factor Modeladd_priors.dfmodel
FRED-QD databem_dfmdata
Bayesian Vector Autoregression Objectsbvar plot.bvar predict.bvar
Posterior Simulation for BVAR Modelsbvarpost
Bayesian Vector Error Correction Objectsbvec plot.bvec
Transform a VEC Model to a VAR in Levelsbvec_to_bvar
Posterior Simulation for BVEC Modelsbvecpost
Bayesian Variable Selectionbvs
Covariance: Data Preparationcovar_prepare_data
Covariance: Vector to Matrixcovar_vector_to_matrix
Bayesian Dynamic Factor Model Objectsdfm plot.dfm
Posterior Simulation for Dynamic Factor Modelsdfmpost
Posterior Simulationdraw_posterior
Posterior Simulationdraw_posterior.bvarmodel
Posterior Simulation for Vector Error Correction Modelsdraw_posterior.bvecmodel
Posterior Simulationdraw_posterior.dfmodel
West German economic time series datae1
German interest and inflation rate datae6
Forecast Error Variance Decomposition A generic function used to calculate forecast error varianc decompositions.fevd plot.bvarfevd
Forecast Error Variance Decompositionfevd.bvar
Dynamic Factor Model Inputgen_dfm
Vector Autoregressive Model Inputgen_var
Vector Error Correction Model Inputgen_vec
Prior Inclusion Probabilitiesinclusion_prior
Impulse Response Function A generic function used to calculate impulse response functions.irf plot.bvarirf
Impulse Response Functionirf.bvar
Durbin and Koopman Simulation Smootherkalman_dk
Calculates the log-likelihood of a multivariate normal distribution.loglik_normal
Minnesota Priorminnesota_prior
Plotting Posterior Draws of Bayesian VAR or VEC Modelsplot.bvarlist
Plotting Forecasts of BVAR Modelsplot.bvarprd
Posterior Draw for Cointegration Modelspost_coint_kls
Posterior Draw for Cointegration Modelspost_coint_kls_sur
Posterior Draws of Error Variancespost_gamma_measurement_variance
Posterior Draws of Error Variancespost_gamma_state_variance
Posterior Draw from a Normal Distributionpost_normal
Posterior Simulation of Error Covariance Coefficientspost_normal_covar_const
Posterior Simulation of Error Covariance Coefficientspost_normal_covar_tvp
Posterior Draw from a Normal Distributionpost_normal_sur
Stochastic Search Variable Selectionssvs
Stochastic Search Variable Selection Priorssvs_prior
Stochastic Volatilitystoch_vol
Stochastic Volatilitystochvol_ksc1998
Stochastic Volatilitystochvol_ocsn2007
Summarising Bayesian VAR Coefficientsprint.summary.bvar summary.bvar
Summarising Bayesian VAR or VEC Modelssummary.bvarlist
Summarising Bayesian VEC Coefficientsprint.summary.bvec summary.bvec
Summarising Bayesian Dynamic Factor Modelssummary.dfm
SUR Matrix Transformationsur_const_to_tvp
Thinning Posterior Drawsthin.bvar
Thinning Posterior Drawsthin.bvarlist
Thinning Posterior Drawsthin.bvec
Thinning Posterior Drawsthin.dfm
US macroeconomic dataus_macrodata