Structural Bayesian Vector Autoregression Models

Provides a function for running Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) , Baumeister and Hamilton (2017) , and Baumeister and Hamilton (2018) . Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.


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install.packages("BHSBVAR")

1.0.2 by Paul Richardson, 2 days ago


Browse source code at https://github.com/cran/BHSBVAR


Authors: Paul Richardson


Documentation:   PDF Manual  


GPL (>= 3) license


Imports Rcpp

Suggests knitr

Linking to Rcpp, RcppArmadillo


See at CRAN