Other packages > Find by keyword >

BGVAR  

Bayesian Global Vector Autoregressions
View on CRAN: Click here


Download and install BGVAR package within the R console
Install from CRAN:
install.packages("BGVAR")

Install from Github:
library("remotes")
install_github("cran/BGVAR")

Install by package version:
library("remotes")
install_version("BGVAR", "2.5.9")



Attach the package and use:
library("BGVAR")
Maintained by
Maximilian Boeck
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-06-19
Latest Update: 2024-09-30
Description:
Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 . Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 .
How to cite:
Maximilian Boeck (2020). BGVAR: Bayesian Global Vector Autoregressions. R package version 2.5.9, https://cran.r-project.org/web/packages/BGVAR. Accessed 08 Oct. 2026.
Previous versions and publish date:
2.0.0 (2020-06-19 13:10), 2.0.1 (2020-06-24 14:10), 2.1.0 (2020-09-07 14:50), 2.1.1 (2020-09-07 23:50), 2.1.2 (2020-09-14 23:40), 2.1.3 (2020-09-30 20:20), 2.1.4 (2020-11-14 15:50), 2.1.5 (2020-11-15 18:10), 2.2.0 (2021-05-03 11:10), 2.2.3 (2021-07-17 12:10), 2.2.4 (2021-07-20 09:20), 2.3.0 (2021-08-10 12:20), 2.3.1 (2021-09-10 11:10), 2.4.0 (2021-10-06 11:00), 2.4.1 (2021-11-04 09:10), 2.4.2 (2021-11-04 15:30), 2.4.3 (2021-11-06 16:00), 2.4.4 (2022-04-01 12:40), 2.4.5 (2022-04-04 12:50), 2.4.6 (2022-04-12 09:22), 2.5.0 (2022-05-02 11:40), 2.5.1 (2022-09-03 01:00), 2.5.2 (2022-10-26 17:27), 2.5.3 (2023-12-09 00:40), 2.5.4 (2023-12-11 09:00), 2.5.5 (2023-12-13 23:30), 2.5.6 (2024-07-03 19:20), 2.5.7 (2024-07-07 16:50), 2.5.8 (2024-09-30 16:50), (2026-07-09 07:57)
Other packages that cited BGVAR R package
View BGVAR citation profile
Other R packages that BGVAR depends, imports, suggests or enhances
Complete documentation for BGVAR
Functions, R codes and Examples using the BGVAR R package
Some associated functions: BGVAR-package . add_shockinfo . avg.pair.cc . bgvar . coef . conv.diag . dic . eerData . excel_to_list . fevd . fitted . get_shockinfo . gfevd . hd . irf . list_to_matrix . logLik . lps . matrix_to_list . monthlyData . pesaranData . plot . predict . resid.corr.test . residuals . rmse . summary . testdata . vcov . 
Some associated R codes: BGVAR.R . RcppExports.R . bgvar-package.R . fevd.R . hd.R . helpers.R . irf.R . plot.R . predict.R . utils.R . zzz.R .  Full BGVAR package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

eDMA  
Dynamic Model Averaging with Grid Search
Perform dynamic model averaging with grid search as in Dangl and Halling (2012) ...
Download / Learn more Package Citations See dependency  
kriens  
Continuation Passing Style Development
Provides basic functions for Continuation-Passing Style development. ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
imguR  
An Imgur.com API Client Package
A complete API client for the image hosting service Imgur.com, including the an imgur graphics devic ...
Download / Learn more Package Citations See dependency  
shinymodels  
Interactive Assessments of Models
Launch a 'shiny' application for 'tidymodels' results. For classification or regression models, the ...
Download / Learn more Package Citations See dependency  

28,989

R Packages

247,686

Dependencies

76,495

Author Associations

28,990

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA