Bayesian Inference of Vector Autoregressive and Error Correction Models

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Documentation for package ‘bvartools’ version 0.2.4

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

add_priors	Add Priors to Bayesian Models A generic function used to generate prior specifications for a list of models. The function invokes particular methods which depend on the class of the first argument.
add_priors.bvarmodel	Add Priors for a Vector Autoregressive Models
add_priors.bvecmodel	Add Priors for Vector Error Correction Models
add_priors.dfmodel	Add Priors to Dynamic Factor Model
bem_dfmdata	FRED-QD data
bvar	Bayesian Vector Autoregression Objects
bvarpost	Posterior Simulation for BVAR Models
bvec	Bayesian Vector Error Correction Objects
bvecpost	Posterior Simulation for BVEC Models
bvec_to_bvar	Transform a VEC Model to a VAR in Levels
bvs	Bayesian Variable Selection
dfm	Bayesian Dynamic Factor Model Objects
dfmpost	Posterior Simulation for Dynamic Factor Models
draw_posterior	Posterior Simulation
draw_posterior.bvarmodel	Posterior Simulation
draw_posterior.bvecmodel	Posterior Simulation for Vector Error Correction Models
draw_posterior.dfmodel	Posterior Simulation
e1	West German economic time series data
e6	German interest and inflation rate data
fevd	Forecast Error Variance Decomposition A generic function used to calculate forecast error varianc decompositions.
fevd.bvar	Forecast Error Variance Decomposition
gen_dfm	Dynamic Factor Model Input
gen_var	Vector Autoregressive Model Input
gen_vec	Vector Error Correction Model Input
inclusion_prior	Prior Inclusion Probabilities
irf	Impulse Response Function A generic function used to calculate impulse response functions.
irf.bvar	Impulse Response Function
kalman_dk	Durbin and Koopman Simulation Smoother
loglik_normal	Calculates the log-likelihood of a multivariate normal distribution.
minnesota_prior	Minnesota Prior
plot.bvar	Bayesian Vector Autoregression Objects
plot.bvarfevd	Forecast Error Variance Decomposition A generic function used to calculate forecast error varianc decompositions.
plot.bvarirf	Impulse Response Function A generic function used to calculate impulse response functions.
plot.bvarlist	Plotting Posterior Draws of Bayesian VAR or VEC Models
plot.bvarprd	Plotting Forecasts of BVAR Models
plot.bvec	Bayesian Vector Error Correction Objects
plot.dfm	Bayesian Dynamic Factor Model Objects
post_coint_kls	Posterior Draw for Cointegration Models
post_coint_kls_sur	Posterior Draw for Cointegration Models
post_normal	Posterior Draw from a Normal Distribution
post_normal_covar_const	Posterior Simulation of Error Covariance Coefficients
post_normal_covar_tvp	Posterior Simulation of Error Covariance Coefficients
post_normal_sur	Posterior Draw from a Normal Distribution
predict.bvar	Bayesian Vector Autoregression Objects
print.summary.bvar	Summarising Bayesian VAR Coefficients
print.summary.bvec	Summarising Bayesian VEC Coefficients
ssvs	Stochastic Search Variable Selection
ssvs_prior	Stochastic Search Variable Selection Prior
stochvol_ksc1998	Stochastic Volatility
stochvol_ocsn2007	Stochastic Volatility
stoch_vol	Stochastic Volatility
summary.bvar	Summarising Bayesian VAR Coefficients
summary.bvarlist	Summarising Bayesian VAR or VEC Models
summary.bvec	Summarising Bayesian VEC Coefficients
summary.dfm	Summarising Bayesian Dynamic Factor Models
thin.bvar	Thinning Posterior Draws
thin.bvarlist	Thinning Posterior Draws
thin.bvec	Thinning Posterior Draws
thin.dfm	Thinning Posterior Draws
us_macrodata	US macroeconomic data