BHSBVAR: Structural Bayesian Vector Autoregression Models

Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.

Version:	3.0.1
Depends:	R (≥ 3.5.0)
Imports:	Rcpp (≥ 1.0.6)
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	rmarkdown, knitr
Published:	2021-06-10
Author:	Paul Richardson
Maintainer:	Paul Richardson <p.richardson.54391 at gmail.com>
License:	GPL (≥ 3)
NeedsCompilation:	yes
Language:	en-US
Materials:	NEWS
CRAN checks:	BHSBVAR results

Documentation:

Reference manual:	BHSBVAR.pdf
Vignettes:	Structural Bayesian Vector Autoregression Models

Downloads:

Package source:	BHSBVAR_3.0.1.tar.gz
Windows binaries:	r-devel: BHSBVAR_3.0.1.zip, r-release: BHSBVAR_3.0.1.zip, r-oldrel: BHSBVAR_3.0.1.zip
macOS binaries:	r-release (arm64): BHSBVAR_3.0.1.tgz, r-oldrel (arm64): BHSBVAR_3.0.1.tgz, r-release (x86_64): BHSBVAR_3.0.1.tgz, r-oldrel (x86_64): BHSBVAR_3.0.1.tgz
Old sources:	BHSBVAR archive

Linking:

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