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bvartools  

Bayesian Inference of Vector Autoregressive and Error Correction Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("bvartools", "0.3.0")



Attach the package and use:
library("bvartools")
Maintained by
Franz X. Mohr
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-06-11
Latest Update: 2024-01-08
Description:
Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) 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).
How to cite:
Franz X. Mohr (2019). bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models. R package version 0.3.0, https://cran.r-project.org/web/packages/bvartools. Accessed 05 Oct. 2026.
Previous versions and publish date:
(2026-09-11 20:50), 0.0.1 (2019-06-11 12:10), 0.0.2 (2019-08-20 14:00), 0.0.3 (2020-07-23 12:10), 0.1.0 (2020-09-18 09:20), 0.2.0 (2021-04-25 11:00), 0.2.1 (2022-01-22 02:12), 0.2.2 (2023-06-12 22:20), 0.2.3 (2023-08-31 00:20), 0.2.4 (2024-01-08 13:10)
Other packages that cited bvartools R package
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Complete documentation for bvartools
Functions, R codes and Examples using the bvartools R package
Some associated functions: add_priors.bvarmodel . add_priors.bvecmodel . add_priors.dfmodel . add_priors . bem_dfmdata . bvar . bvarpost . bvartools . bvec . bvec_to_bvar . bvecpost . bvs . dfm . dfmpost . draw_posterior.bvarmodel . draw_posterior.bvecmodel . draw_posterior.dfmodel . draw_posterior . e1 . e6 . fevd.bvar . fevd . gen_dfm . gen_var . gen_vec . inclusion_prior . irf.bvar . irf . kalman_dk . loglik_normal . minnesota_prior . plot.bvarprd . post_coint_kls . post_coint_kls_sur . post_normal . post_normal_sur . ssvs . ssvs_prior . stoch_vol . summary.bvar . summary.bvarlist . summary.bvec . summary.dfm . thin.bvar . thin.bvarlist . thin.bvec . thin.dfm . us_macrodata . 
Some associated R codes: RcppExports.R . add_priors.R . add_priors.bvarmodel.R . add_priors.bvecmodel.R . add_priors.dfmodel.R . bvar.R . bvar_fill_helper.R . bvarpost.R . bvartools.R . bvec.R . bvec_to_bvar.R . bvecpost.R . data.R . dfm.R . dfmpost.R . draw_posterior.R . draw_posterior.bvarmodel.R . draw_posterior.bvecmodel.R . draw_posterior.dfmodel.R . fevd.R . fevd.bvar.R . gen_dfm.R . gen_var.R . gen_vec.R . get_regressor_names.R . inclusion_prior.R . irf.R . irf.bvar.R . minnesota_prior.R . plot.bvar.R . plot.bvarfevd.R . plot.bvarirf.R . plot.bvarprd.R . plot.bvec.R . plot.dfm.R . predict.bvar.R . print.summary.bvar.R . print.summary.bvec.R . ssvs_prior.R . summary.bvar.R . summary.bvarlist.R . summary.bvec.R . summary.dfm.R . thin.bvar.R . thin.bvarlist.R . thin.bvec.R . thin.dfm.R . tvpribbon.R . zzz.R .  Full bvartools package functions and examples
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