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:
bvartools_0.2.4.9000.tar.gz
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|bvartools.html✨
bvartools/json (API)
NEWS
# Install 'bvartools' in R: |
install.packages('bvartools', repos = c('https://franzmohr.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/franzmohr/bvartools/issues
- bem_dfmdata - FRED-QD data
- e1 - West German economic time series data
- e6 - German interest and inflation rate data
- us_macrodata - US macroeconomic data
bayesianbayesian-inferencebayesian-varbvarbvecmgibbs-samplingmcmcvector-autoregressionvector-error-correction-model
Last updated 10 months agofrom:1b546fea21. Checks:ERROR: 1 OK: 8. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | FAIL | Oct 11 2024 |
R-4.5-win-x86_64 | OK | Oct 11 2024 |
R-4.5-linux-x86_64 | OK | Oct 11 2024 |
R-4.4-win-x86_64 | OK | Oct 11 2024 |
R-4.4-mac-x86_64 | OK | Oct 11 2024 |
R-4.4-mac-aarch64 | OK | Oct 11 2024 |
R-4.3-win-x86_64 | OK | Oct 11 2024 |
R-4.3-mac-x86_64 | OK | Oct 11 2024 |
R-4.3-mac-aarch64 | OK | Oct 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.Rmd
usingknitr::rmarkdown
on Oct 11 2024.Last update: 2021-11-08
Started: 2019-03-24
Introduction to bvartools
Rendered frombvartools.Rmd
usingknitr::rmarkdown
on Oct 11 2024.Last update: 2021-11-06
Started: 2019-02-07
Model Comparison in bvartools
Rendered frommodel-comparison.Rmd
usingknitr::rmarkdown
on Oct 11 2024.Last update: 2021-11-08
Started: 2020-09-17
Stochastic Search Variable Selection in bvartools
Rendered fromssvs.Rmd
usingknitr::rmarkdown
on Oct 11 2024.Last update: 2021-11-06
Started: 2019-02-17