To cite bvartools in publications use:

Franz X. Mohr (2024). bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models. R package version 0.2.4.9000.

To cite the algortihm of Koop et al. (2010) use:

G. Koop, R. León-González, & R. W. Strachan (2010). Efficient posterior simulation for cointegrated models with priors on the cointegration space Econometric Reviews, 29(2), 224--242.<doi:10.1080/07474930903382208>

To cite the algortihm of Koop et al. (2011) use:

G. Koop, R. León-González, & R. W. Strachan (2011). Bayesian inference in a time varying cointegration model Journal of Econometrics, 165(2), 210--220.<doi:10.1016/j.jeconom.2011.07.007>

To cite the algortihm of Durbin & Koopman (2002) use:

J. Durbin & S. J. Koopman (2002). A simple and efficient simulation smoother for state space time series analysis Biometrika 89(3), 603--615.

To cite the SSVS algortihm of George et al. (2008) use:

E. I. George, D. Sun, & S. Ni (2008). Bayesian stochastic search for VAR model restrictions Journal of Econometrics 142(1), 553-580.<doi:10.1016/j.jeconom.2007.08.017>

To cite the BVS algortihm of Korobilis (2013) use:

D. Korobilis (2013). VAR forecasting using Bayesian variable selection Journal of Applied Econometrics 28(2), 204-230.<doi:10.1002/jae.1271>

To cite the stochastic volatility algortihm of Kim et al. (1998) use:

S. Kim, N. Shephard, & S. Chib (1998). Stochastic volatility. Likelihood inference and comparison with ARCH models Review of Economic Studies 65(3), 361-393.<doi:10.1111/1467-937X.00050>

To cite the stochastic volatility algortihm of Omori et al. (2007) use:

Y. Omori, S. Chib, N. Shephard, & J. Nakajima (2007). Stochastic volatiltiy with leverage. Fast and efficient likelihood inference Journal of Econometrics 140(2), 425-449.<doi:10.1016/j.jeconom.2006.07.008>

Corresponding BibTeX entries:

  @Manual{,
    title = {{bvartools}: Bayesian Inference of Vector Autoregressive
      and Error Correction Models},
    author = {Franz X. Mohr},
    year = {2024},
    note = {R package version 0.2.4.9000},
    url = {https://CRAN.R-project.org/package=bvartools},
  }

  @Article{,
    title = {Efficient posterior simulation for cointegrated models
      with priors on the cointegration space},
    author = {G. Koop and R. León-González and R. W. Strachan},
    year = {2010},
    journal = {Econometric Reviews},
    volume = {29},
    number = {2},
    pages = {224--242},
    doi = {10.1080/07474930903382208},
  }

  @Article{,
    title = {Bayesian inference in a time varying cointegration model},
    author = {G. Koop and R. León-González and R. W. Strachan},
    year = {2011},
    journal = {Journal of Econometrics},
    volume = {165},
    number = {2},
    pages = {210--220},
    doi = {10.1016/j.jeconom.2011.07.007},
  }

  @Article{,
    title = {A simple and efficient simulation smoother for state space
      time series analysis},
    author = {J. Durbin and S. J. Koopman},
    year = {2002},
    journal = {Biometrika},
    volume = {89},
    number = {3},
    pages = {603--615},
  }

  @Article{,
    title = {Bayesian stochastic search for VAR model restrictions},
    author = {E. I. George and D. Sun and S. Ni},
    year = {2008},
    journal = {Journal of Econometrics},
    volume = {142},
    number = {1},
    pages = {553--580},
    doi = {10.1016/j.jeconom.2007.08.017},
  }

  @Article{,
    title = {VAR forecasting using Bayesian variable selection},
    author = {D. Korobilis},
    year = {2013},
    journal = {Journal of Applied Econometrics},
    volume = {28},
    number = {2},
    pages = {204--230},
    doi = {10.1002/jae.1271},
  }

  @Article{,
    title = {Stochastic volatility. Likelihood inference and comparison
      with ARCH models},
    author = {S. Kim and N. Shephard and S. Chib},
    year = {1998},
    journal = {Review of Economic Studies},
    volume = {65},
    number = {3},
    pages = {361--393},
    doi = {10.1111/1467-937X.00050},
  }

  @Article{,
    title = {Stochastic volatiltiy with leverage. Fast and efficient
      likelihood inference},
    author = {Y. Omori and S. Chib and N. Shephard and J. Nakajima},
    year = {2007},
    journal = {Journal of Econometrics},
    volume = {140},
    number = {2},
    pages = {425--449},
    doi = {10.1016/j.jeconom.2006.07.008},
  }