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bvartools 0.2.4

• Using an updated version of Rcpp to address an issue with Rcpp::stop.
• stochvol_ocsn2007 can handle multi-column input.
• stochvol_ksc1998 can handle multi-column input.
• Added post_gamma_state_variance for posterior simulation of constant error variances of the state equation.
• Added post_normal_covar_tvp for posterior simulation of time varying, lower triangular covariance matrices.
• Added post_normal_covar_const for posterior simulation of constant, lower triangular covariance matrices.

bvartools 0.2.3

• Fixed alias issue resulting from use of roxygen2.
• Made kalman_dk callable from C++.
• Stochastic volatility algorithms allow to set the offsetting constant manually.
• Changed stoch_vol to a wrapper for stochvol_ksc1998.
• Added stochastic volatility algorithm of Kim et al. (1998) in a separate function stochvol_ksc1998.
• Added stochastic volatility algorithm of Omori et al. (2007) in function stochvol_ocsn2007.
• Fixed bug with detection of deterministic terms in bvar.
• Implemented recursive iterations for forecasts in C++.
• Replaced erroneous | in C++ sampling functions by ||.

bvartools 0.2.2

• Addressed CRAN NOTE on CITATION file
• Addressed the CRAN NOTE “Specified C++11: please drop specification unless essential” by dropping the specification from “src/Makevars”
• Improved the treatment of bvar and bvec objects if Gibbs sampler fails.
• Fix erroneous SUR-matrix generation for VEC models with r = 0 in .bvecalg.
• Fix bug in .bvecalg and .bvectvpalg with the storing of posterior draws of beta.
• Fix bug of predict.bvar, which could not handle only VARX models with contemporaneous exogenous variables only.
• Model plot functions support boxplots.
• Fix typos in documentation.

bvartools 0.2.1

• Added functionality for the simulation of models with time varying parameters, both for VAR and VEC models.
• Added functionality for the simulation of models with stochastic volatility, both for VAR and VEC models.
• Added a plot function for classes bvar and bvec for visual inspection of posterior draws.
• Changed the generation of the output object in the Gibbs sampler functions bvaralg and bvecalg to make them more stable for especially large output.
• Changed draw_posterior to a generic function and added the corresponding methods for BVAR, BVEC and DFM input.
• Changed irf and fevd to generic functions.
• Corrected typos in documentation.
• thin_posterior methods were renamed to thin and are now methods of coda::thin.
• Function irf allows to specify the size of a shock.
• Fixed a bug in ssvs_prior concerning BVEC models.
• Fixed a bug with the prior in the BVEC algorithm.

bvartools 0.2.0

• Changed thin_posterior to a generic function and added methods for BVAR, BVEC and dynamic factor model input.
• Changed add_prior to a generic function and added methods for BVAR, BVEC and dynamic factor model input.
• Added funcionality to estimate dynamic factor models (DFM).
• predict requires to specify an object of class ts as input for argument exogen.
• Additioal argument checks for add_priors methods.
• Updated documentation in minnesota_prior and for add_prior methods.
• Using instead of \url in documentation

bvartools 0.1.0

• Omitted package Matrix from “Imports”" in DESCRIPTION, which caused a note in version 0.0.3.
• Added function bvarpost for posterior simulation of BVAR models.
• Added function bvecpost for posterior simulation of BVEC models.
• Added function draw_posterior for estimation of multiple models.
• Fixed erroneous calculation of structural forecast error variance decompositions.
• More specification checks and increased robustness against erroneous model specificaions.
• Function fevd calculates FEVDs based on means of posterior draws of FEVDs and not based on the means of the coefficient draws.
• Function bvar and summary.bvar can deal with inclusion parameters.
• Added funtion add_priors for easier construction of prior matrices for multiple models.
• gen_var and gen_vec can produce multiple models.
• Changed all argument names of predict.bvar to lower cases.

bvartools 0.0.3

• Changed all argument names of post_normal, post_normal_sur, post_coint_kls and post_coint_kls_sur to lower case letters.
• Replaced output element in function ssvs from V_i to v_i.
• Refined function minnesota_prior and added additional functionaliy.
• Fixed error message when creating seasonal dummies with gen_var and gen_vec.
• New data set us_macrodata.
• Added additional checks in gen_vec.
• Added functions inclusion_prior for the calculation of inclusion probability priors as used by bvs and ssvs.
• Added summary functions.
• Fixed conversion and collection of exogenous regressors in bvec_to_bvar.
• Fixed detection of deterministic terms in bvec_to_bvar.
• Updated documentation in kalman_dk.
• irf contains a new argument keep_draws.
• Additional checks in post_normal, post_normal_sur, post_coint_kls and post_coint_kls_sur.
• Adapt vignette bvec.
• Added loglik_normal for the calculation of a multivariate normal log-likelihood.

bvartools 0.0.2

• Updated vignette ssvs after the introduction of function ssvs_prior.
• Added ssvs_prior for the calculation of prior matrices for the SSVS algorithm.
• Added minnesota_prior for the calculation of the Minnesota prior.
• Use unsigned integers for indices in Cpp code to address warnings during installation.
• Better error handling in irf.
• In post_coint_kls_sur the prior matrix g_i can be time varying.
• bvar and predict also work only with deterministic terms, i.e. p can be zero.
• Use SVD to obtain a draw of beta in post_coint_kls and post_coint_kls_sur.
• predict allows for p = 1.
• Add legend to plot.bvarfevd.

bvartools 0.0.1

• Initial release

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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