Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) and Luetkepohl (2006, ISBN: 9783540262398).


Reference manual

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0.2.0 by Franz X. Mohr, 9 months ago

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Authors: Franz X. Mohr [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports coda, grDevices, graphics, methods, parallel, Rcpp, stats

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN