bvartools {bvartools}R Documentation

bvartools: Bayesian Inference of Vector Autoregressive Models

Description

A collection of R and C++ functions, which assist in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models.

Details

The package bvartools implements some common functions used for Bayesian inference for mulitvariate time series models. It should give researchers maximum freedom in setting up MCMC algorithms in R and keep calculation time limited at the same time. This is achieved by implementing posterior simulation functions in C++. Its main features are

Author(s)

Franz X. Mohr

References

Sanderson, C., & Curtin, R. (2016). Armadillo: a template-based C++ library for linear algebra. Journal of Open Source Software, 1(2), 26. http://dx.doi.org/10.21105/joss.00026

Durbin, J., & Koopman, S. J. (2002). A simple and efficient simulation smoother for state space time series analysis. Biometrika, 89(3), 603–615.

Eddelbuettel, D., & Sanderson C. (2014). RcppArmadillo: Accelerating R with high-performance C++ linear algebra. Computational Statistics and Data Analysis, 71, 1054–1063. http://dx.doi.org/10.1016/j.csda.2013.02.005

George, E. I., Sun, D., & Ni, S. (2008). Bayesian stochastic search for VAR model restrictions. Journal of Econometrics, 142(1), 553–580. https://doi.org/10.1016/j.jeconom.2007.08.017

Koop, G, & Korobilis, D. (2010), Bayesian multivariate time series Methods for empirical macroeconomics, Foundations and Trends in Econometrics, 3(4), 267–358. http://dx.doi.org/10.1561/0800000013

Koop, G., León-González, R., & Strachan R. W. (2010). Efficient posterior simulation for cointegrated models with priors on the cointegration space. Econometric Reviews, 29(2), 224–242. https://doi.org/10.1080/07474930903382208

Korobilis, D. (2013). VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28(2), 204–230. https://doi.org/10.1002/jae.1271

Lütkepohl, H. (2007). New introduction to multiple time series analysis (2nd ed.). Berlin: Springer.


[Package bvartools version 0.0.2 Index]