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R package for Bayesian Vector Autoregression
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Build Status Build status codecov License: GPL v3 CRAN_Status_Badge Project Status: Active – The project has reached a stable, usable state and is being actively developed. stability-stable

bvars

Overview

bvar is a collection of R routines for estimating Linear and Nonlinear Bayesian Vector Autoregressive models in R. The R code is based on the Matlab Code by Blake and Mumtaz (2012) and Koop and Koribilis (2009)

Models and functionalities include:

  • VAR Models

    • Linear VARs
    • Regime Switching VARs
    • Threshold VARs
    • Factor-Augmented Models
  • Identification of Structural Models

    • Cholesky decomposition
    • Sign Restrictions
  • Functionalities to further analyze VARs

    • Impulse-Response Functions
    • Forecast error variance decomposition
    • Forecasting
    • historical decomposition
  • Project Homepage

  • Python version (WIP)

Installation

To install the package you need the devtools package. If you don't have the devtools package, you can install it with

install.packages("devtools")

Once you have installed the devtools package you can install the bvar package with

library('devtools')
devtools::install_github('joergrieger/bvars')
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