Provides methods for estimating frequentist and Bayesian Vector Autoregression (VAR) models and Markov-switching Bayesian VAR (MSBVAR). Functions for reduced form and structural VAR models are also available. Includes methods for the generating posterior inferences for these models, forecasts, impulse responses (using likelihood-based error bands), and forecast error decompositions. Also includes utility functions for plotting forecasts and impulse responses, and generating draws from Wishart and singular multivariate normal densities. Current version includes functionality to build and evaluate models with Markov switching.
| Version: | 0.9-3 |
| Imports: | KernSmooth, xtable, coda, bit, mvtnorm, lattice |
| Published: | 2016-11-15 |
| Author: | Patrick Brandt [aut, cre], W. Ryan Davis [ctb] |
| Maintainer: | Patrick Brandt <pbrandt at utdallas.edu> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | yes |
| SystemRequirements: | gcc (>= 4.0) |
| Materials: | README |
| In views: | Bayesian, Econometrics, Finance, TimeSeries |
| CRAN checks: | MSBVAR results |
| Reference manual: | MSBVAR.pdf |
| Package source: | MSBVAR_0.9-3.tar.gz |
| Windows binaries: | r-devel: MSBVAR_0.9-3.zip, r-release: MSBVAR_0.9-3.zip, r-oldrel: MSBVAR_0.9-3.zip |
| OS X El Capitan binaries: | r-release: MSBVAR_0.9-3.tgz |
| OS X Mavericks binaries: | r-oldrel: MSBVAR_0.9-3.tgz |
| Old sources: | MSBVAR archive |
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