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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: 3.1.1
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.6)
LinkingTo: Rcpp, RcppArmadillo
Suggests: rmarkdown, knitr
Published: 2022-11-05
DOI: 10.32614/CRAN.package.BHSBVAR
Author: Paul Richardson
Maintainer: Paul Richardson <p.richardson.54391 at gmail.com>
License: GPL (≥ 3)
NeedsCompilation: yes
Language: en-US
Materials: NEWS
CRAN checks: BHSBVAR results

Documentation:

Reference manual: BHSBVAR.pdf
Vignettes: Structural Bayesian Vector Autoregression Models

Downloads:

Package source: BHSBVAR_3.1.1.tar.gz
Windows binaries: r-devel: BHSBVAR_3.1.1.zip, r-release: BHSBVAR_3.1.1.zip, r-oldrel: BHSBVAR_3.1.1.zip
macOS binaries: r-release (arm64): BHSBVAR_3.1.1.tgz, r-oldrel (arm64): BHSBVAR_3.1.1.tgz, r-release (x86_64): BHSBVAR_3.1.1.tgz, r-oldrel (x86_64): BHSBVAR_3.1.1.tgz
Old sources: BHSBVAR archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=BHSBVAR to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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