BVAR (0.2.2)

Hierarchical Bayesian Vector Autoregression.

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) . Allows for the computation of impulse responses and forecasts and provides several methods for assessing results.

Maintainer: Nikolas Kuschnig
Author(s): Nikolas Kuschnig [aut, cre], Lukas Vashold [aut], Michael McCracken [dtc], Serena Ng [dtc]

License: GPL-3 | file LICENSE

Uses: mvtnorm, coda, vars

Released 3 months ago.