Structural Bayesian Vector Autoregression Models

Provides a function for estimating the parameters of 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.


Reference manual

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3.0.1 by Paul Richardson, 7 months ago

Browse source code at

Authors: Paul Richardson

Documentation:   PDF Manual  

GPL (>= 3) license

Imports Rcpp

Suggests rmarkdown, knitr

Linking to Rcpp, RcppArmadillo

See at CRAN