Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.


bvarsv

R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (folder ``man'') for details.

  • First commit: August 18, 2014
  • Version 1.1: April 9, 2015
  • Update on November 17, 2015 (extended functionality for impulse responses and access to parameter draws)

The (stable version of the) package is on CRAN (https://cran.r-project.org/web/packages/bvarsv/index.html). Primiceri, G E (2005): ``Time Varying Structural Vector Autoregressions and Monetary Policy'', Review of Economic Studies 72, 821-852.

Del Negro, M and G E Primiceri (2015): ``Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum'', Review of Economic Studies 82, 1342-1345.

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Reference manual

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install.packages("bvarsv")

1.1 by Fabian Krueger, 3 years ago


https://sites.google.com/site/fk83research/code


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


Authors: Fabian Krueger


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


Imported by tvReg.


See at CRAN