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:
| Reference manual: | bayesianVARs.pdf |
| Vignettes: |
Shrinkage Priors for Bayesian Vectorautoregressions featuring Stochastic Volatility Using the **R** Package **bayesianVARs** (source, R code) |
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-devel (arm64): bayesianVARs_0.1.5.tgz, r-release (arm64): bayesianVARs_0.1.5.tgz, r-oldrel (arm64): bayesianVARs_0.1.5.tgz, r-devel (x86_64): 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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