Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).
| Version: | 0.2.1 |
| Depends: | R (≥ 3.4.0), coda |
| Imports: | grDevices, graphics, methods, parallel, Rcpp (≥ 0.12.14), stats |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown |
| Published: | 2022-01-22 |
| Author: | Franz X. Mohr [aut, cre] |
| Maintainer: | Franz X. Mohr <bvartools at outlook.com> |
| BugReports: | https://github.com/franzmohr/bvartools/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/franzmohr/bvartools |
| NeedsCompilation: | yes |
| Citation: | bvartools citation info |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | bvartools results |
| Package source: | bvartools_0.2.1.tar.gz |
| Windows binaries: | r-devel: bvartools_0.2.1.zip, r-release: bvartools_0.2.1.zip, r-oldrel: bvartools_0.2.1.zip |
| macOS binaries: | r-release (arm64): bvartools_0.2.1.tgz, r-oldrel (arm64): bvartools_0.2.1.tgz, r-release (x86_64): bvartools_0.2.1.tgz, r-oldrel (x86_64): bvartools_0.2.1.tgz |
| Old sources: | bvartools archive |
| Reverse imports: | FAVAR |
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