acpbvar: Bayesian Structural VARs with Asymmetric Conjugate Priors

Implements Bayesian estimation of structural Vector Autoregressions in the asymmetric A-form of Chan (2022) <doi:10.3982/QE1381>, with an asymmetric Minnesota prior whose own-lag and cross-lag hyperparameters are selected by empirical Bayes via the closed-form marginal likelihood. Exact equation-by-equation posterior simulation in the structural form (independent Normal-Inverse-Gamma draws) provides posterior draws of the reduced-form parameters; structural identification through sign restrictions follows the algorithm of Rubio-Ramirez, Waggoner and Zha (2010) <doi:10.1111/j.1467-937X.2009.00578.x>. Impulse responses, posterior bands, and acceptance diagnostics are computed from the accepted draws.

Version:	0.2.0
Depends:	R (≥ 4.0)
Imports:	stats, utils, graphics, grDevices
Suggests:	bsvarSIGNs, bsvars, knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2026-10-31
DOI:	10.32614/CRAN.package.acpbvar (may not be active yet)
Author:	Federica Ursillo [aut, cre]
Maintainer:	Federica Ursillo <federica.ursillo at outlook.com>
BugReports:	https://github.com/ursillofederica/acpbvar/issues
License:	MIT + file LICENSE
URL:	https://github.com/ursillofederica/acpbvar
NeedsCompilation:	no
Materials:	README, NEWS
CRAN checks:	acpbvar results

Documentation:

Reference manual:	acpbvar.html , acpbvar.pdf
Vignettes:	acpbvar on real data: the monetary policy shock of Uhlig (2005) (source, R code) acpbvar: a complete workflow (source, R code)

Downloads:

Package source:	acpbvar_0.2.0.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): acpbvar_0.2.0.tgz, r-oldrel (arm64): acpbvar_0.2.0.tgz, r-release (x86_64): acpbvar_0.2.0.tgz, r-oldrel (x86_64): acpbvar_0.2.0.tgz

Linking:

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