BVAR

R package BVAR: Hierarchical Bayesian Vector Autoregression. Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.


References in zbMATH (referenced in 1 article , 1 standard article )

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  1. Kuschnig, N., Vashold, L.: BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R (2021) not zbMATH