BHSBVAR: Structural Bayesian Vector Autoregression Models

Provides a function for running Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.

Version: 1.0.0
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 0.12.19)
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr
Published: 2018-11-19
Author: Paul Richardson
Maintainer: Paul Richardson <p.richardson.54391 at>
License: GPL (≥ 3)
NeedsCompilation: yes
CRAN checks: BHSBVAR results


Reference manual: BHSBVAR.pdf
Vignettes: Structural Bayesian Vector Autoregression Models
Package source: BHSBVAR_1.0.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel: not available
OS X binaries: r-release: BHSBVAR_1.0.0.tgz, r-oldrel: not available


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