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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 |
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 |
Reference manual: | shrinkTVPVAR.pdf |
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 |
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These binaries (installable software) and packages are in development.
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