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BVAR  

Hierarchical Bayesian Vector Autoregression
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("BVAR", "1.0.5")



Attach the package and use:
library("BVAR")
Maintained by
Nikolas Kuschnig
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-05-03
Latest Update: 2023-03-08
Description:
Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) . Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) . Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
How to cite:
Nikolas Kuschnig (2019). BVAR: Hierarchical Bayesian Vector Autoregression. R package version 1.0.5, https://cran.r-project.org/web/packages/BVAR. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.1.3 (2019-05-03 15:00), 0.1.5 (2019-07-09 12:30), 0.2.0 (2019-09-05 17:30), 0.2.1 (2019-09-21 13:40), 0.2.2 (2020-02-20 11:20), 1.0.0 (2020-05-06 00:50), 1.0.1 (2020-09-27 06:40), 1.0.2 (2021-11-26 17:11), 1.0.3 (2022-02-25 16:00), 1.0.4 (2023-03-08 20:30)
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