bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions
Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023) <doi:10.48550/arXiv.2206.04902>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.
| Version: | 0.1.5 |
| Depends: | R (≥ 3.3.0) |
| Imports: | colorspace,factorstochvol (≥ 1.1.0),GIGrvg (≥ 0.7), graphics,MASS,mvtnorm,Rcpp (≥ 1.0.0),scales, stats,stochvol (≥ 3.0.3), utils |
| LinkingTo: | factorstochvol,Rcpp,RcppArmadillo,RcppProgress,stochvol |
| Suggests: | coda,knitr,rmarkdown,testthat (≥ 3.0.0) |
| Published: | 2024-11-13 |
| DOI: | 10.32614/CRAN.package.bayesianVARs |
| Author: | Luis Gruber [cph, aut, cre], Gregor Kastner [ctb] |
| Maintainer: | Luis Gruber <Luis.Gruber at aau.at> |
| BugReports: | https://github.com/luisgruber/bayesianVARs/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/luisgruber/bayesianVARs,https://luisgruber.github.io/bayesianVARs/ |
| NeedsCompilation: | yes |
| Materials: | README,NEWS |
| In views: | Bayesian,TimeSeries |
| CRAN checks: | bayesianVARs results |
Documentation:
Downloads:
| Package source: | bayesianVARs_0.1.5.tar.gz |
| Windows binaries: | r-devel:bayesianVARs_0.1.5.zip, r-release:bayesianVARs_0.1.5.zip, r-oldrel:bayesianVARs_0.1.5.zip |
| macOS binaries: | r-release (arm64):bayesianVARs_0.1.5.tgz, r-oldrel (arm64):bayesianVARs_0.1.5.tgz, r-release (x86_64):bayesianVARs_0.1.5.tgz, r-oldrel (x86_64):bayesianVARs_0.1.5.tgz |
| Old sources: | bayesianVARs archive |
Linking:
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