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shrinkTVPVAR  

Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("shrinkTVPVAR", "0.1.1")



Attach the package and use:
library("shrinkTVPVAR")
Maintained by
Peter Knaus
[Scholar Profile | Author Map]
First Published: 2024-09-16
Latest Update: 2024-09-16
Description:
Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.
How to cite:
Peter Knaus (2024). shrinkTVPVAR: Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage. R package version 0.1.1, https://cran.r-project.org/web/packages/shrinkTVPVAR. Accessed 03 Apr. 2025.
Previous versions and publish date:
No previous versions
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Complete documentation for shrinkTVPVAR
Functions, R codes and Examples using the shrinkTVPVAR R package
Full shrinkTVPVAR package functions and examples
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