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shrinkTVPVAR: Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with stochastic volatility (TVP-VAR-SV) under shrinkage priors and dynamic shrinkage processes. Details on the TVP-VAR-SV model and the shrinkage priors can be found in Cadonna et al. (2020) <doi:10.3390/econometrics8020020>, details on the software can be found in Knaus et al. (2021) <doi:10.18637/jss.v100.i13>, while details on the dynamic shrinkage process can be found in Knaus and Frühwirth-Schnatter (2023) <doi:10.48550/arXiv.2312.10487>.

Version: 1.0.1
Depends: R (≥ 3.3.0)
Imports: Rcpp, shrinkTVP (≥ 3.1.0), stochvol, coda, methods, grDevices, RColorBrewer, lattice, zoo, mvtnorm
LinkingTo: Rcpp, RcppProgress, RcppArmadillo, shrinkTVP (≥ 3.1.0), stochvol
Suggests: testthat (≥ 3.0.0)
Published: 2025-06-03
DOI: 10.32614/CRAN.package.shrinkTVPVAR
Author: Peter Knaus ORCID iD [aut, cre]
Maintainer: Peter Knaus <peter.knaus at wu.ac.at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: shrinkTVPVAR results

Documentation:

Reference manual: shrinkTVPVAR.pdf

Downloads:

Package source: shrinkTVPVAR_1.0.1.tar.gz
Windows binaries: r-devel: shrinkTVPVAR_1.0.1.zip, r-release: shrinkTVPVAR_1.0.1.zip, r-oldrel: shrinkTVPVAR_1.0.1.zip
macOS binaries: r-release (arm64): shrinkTVPVAR_1.0.1.tgz, r-oldrel (arm64): shrinkTVPVAR_1.0.1.tgz, r-release (x86_64): shrinkTVPVAR_1.0.1.tgz, r-oldrel (x86_64): shrinkTVPVAR_1.0.1.tgz
Old sources: shrinkTVPVAR archive

Linking:

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