Bayesian Estimation of Structural Vector Autoregressive Models
This package provides efficient algorithms for Bayesian estimation of Structural Vector Autoregressive (SVAR) models via Markov chain Monte Carlo methods. A wide range of SVAR models is considered, including homo- and heteroskedastic specifications and those with non-normal structural shocks.
This package is distributed under license GPL (>= 3)
Copyright © 2022 Tomasz Woźniak (email: wozniak.tom@pm.me)