To cite bvartools in publications use:

Mohr FX (2024). bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models. R package version 0.2.4, https://CRAN.R-project.org/package=bvartools.

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

Koop G, León-González R, Strachan RW (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:

Koop G, León-González R, Strachan RW (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:

Durbin J, Koopman SJ (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:

George EI, Sun D, Ni S (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:

Korobilis D (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:

Kim S, Shephard N, Chib S (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:

Omori Y, Chib S, Shephard N, Nakajima J (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},
    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},
  }