BGVAR: Bayesian Global Vector Autoregressions
Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 <doi:10.18637/jss.v104.i09>.
| Version: | 2.5.9 |
| Depends: | R (≥ 3.5.0) |
| Imports: | abind,bayesm,coda,GIGrvg, graphics,knitr,MASS,Matrix, methods, parallel,Rcpp (≥ 1.0.3),RcppParallel,readxl, stats,stochvol (≥ 3.0.3), utils,xts,zoo |
| LinkingTo: | Rcpp,RcppArmadillo,RcppProgress,RcppParallel,stochvol,GIGrvg |
| Suggests: | rmarkdown,testthat (≥ 2.1.0) |
| Published: | 2025-09-22 |
| DOI: | 10.32614/CRAN.package.BGVAR |
| Author: | Maximilian Boeck [aut, cre], Martin Feldkircher [aut], Florian Huber [aut], Darjus Hosszejni [ctb] |
| Maintainer: | Maximilian Boeck <maximilian.boeck at fau.de> |
| BugReports: | https://github.com/mboeck11/BGVAR/issues |
| License: | GPL-3 |
| URL: | https://github.com/mboeck11/BGVAR |
| NeedsCompilation: | yes |
| SystemRequirements: | GNU make |
| Language: | en-US |
| Citation: | BGVAR citation info |
| Materials: | README,NEWS |
| In views: | TimeSeries |
| CRAN checks: | BGVAR results |
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