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Provides tools for conducting scenario analysis in reduced-form vector autoregressive (VAR) models. Implements a Kalman filtering framework to generate forecasts under path restrictions on selected variables. The package enables decomposition of conditional forecasts into variable-specific contributions, and extraction of observation weights. It also computes measures of overall and marginal variable importance to enhance the economic interpretation of forecast revisions. The framework is structurally agnostic and suited for policy analysis, stress testing, and macro-financial applications. The methodology is described in more detail in Caspi and Ginker (2026) <doi:10.13140/RG.2.2.25225.51040>.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | BVAR, dplyr, FKF, miscTools, tibble, vars, utils, methods, wex |
| Published: | 2026-03-09 |
| DOI: | 10.32614/CRAN.package.cforecast (may not be active yet) |
| Author: | Tim Ginker [aut, cre] |
| Maintainer: | Tim Ginker <tim.ginker at gmail.com> |
| BugReports: | https://github.com/timginker/cforecast/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/timginker/cforecast |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | cforecast results |
| Reference manual: | cforecast.html , cforecast.pdf |
| Package source: | cforecast_0.1.0.tar.gz |
| Windows binaries: | r-devel: cforecast_0.1.0.zip, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): cforecast_0.1.0.tgz, r-oldrel (arm64): cforecast_0.1.0.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available |
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