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SteadyStateBVAR: Bayesian Vector Autoregressions with Steady-State Priors

Provides estimation of Bayesian vector autoregression (BVAR) models with steady-state priors via 'Stan', along with functions for unconditional and conditional forecasting, as well as impulse response analysis. For details on the steady-state BVAR model see Villani (2009) <doi:10.1002/jae.1065>.

Version: 0.1.1
Depends: R (≥ 3.6.0)
Imports: graphics, grDevices, methods, MTS (≥ 1.2.1), Rcpp (≥ 0.12.0), RcppParallel (≥ 5.0.1), rstan (≥ 2.32.7), rstantools (≥ 2.6.0), stats, utils
LinkingTo: BH (≥ 1.66.0), Rcpp (≥ 0.12.0), RcppEigen (≥ 0.3.3.3.0), RcppParallel (≥ 5.0.1), rstan (≥ 2.18.1), StanHeaders (≥ 2.18.0)
Suggests: knitr, rmarkdown, testthat (≥ 3.0.0)
Published: 2026-07-28
DOI: 10.32614/CRAN.package.SteadyStateBVAR
Author: Mark Becker [aut, cre, cph]
Maintainer: Mark Becker <mark.jw.becker at gmail.com>
BugReports: https://github.com/markjwbecker/SteadyStateBVAR/issues
License: GPL (≥ 3)
URL: https://github.com/markjwbecker/SteadyStateBVAR, https://markjwbecker.github.io/SteadyStateBVAR/
NeedsCompilation: yes
SystemRequirements: GNU make
Citation: SteadyStateBVAR citation info
Materials: README, NEWS
CRAN checks: SteadyStateBVAR results

Documentation:

Reference manual: SteadyStateBVAR.html , SteadyStateBVAR.pdf
Vignettes: AR(1) stochastic volatility steady-state BVAR (source)
Homoscedastic steady-state BVAR (Villani, 2009) (source)
Random Walk stochastic volatility steady-state BVAR (Clark, 2011) (source)

Downloads:

Package source: SteadyStateBVAR_0.1.1.tar.gz
Windows binaries: r-devel: SteadyStateBVAR_0.1.1.zip, r-release: SteadyStateBVAR_0.1.1.zip, r-oldrel: SteadyStateBVAR_0.1.1.zip
macOS binaries: r-release (arm64): SteadyStateBVAR_0.1.1.tgz, r-oldrel (arm64): SteadyStateBVAR_0.1.1.tgz, r-release (x86_64): SteadyStateBVAR_0.1.1.tgz, r-oldrel (x86_64): SteadyStateBVAR_0.1.1.tgz
Old sources: SteadyStateBVAR archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=SteadyStateBVAR 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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