swMATH ID: 40878
Software Authors: Nikolas Kuschnig, Lukas Vashold, Michael McCracken, Serena Ng
Description: R package BVAR: Hierarchical Bayesian Vector Autoregression. Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
Homepage: https://cran.r-project.org/web/packages/BVAR/index.html
Source Code:  https://github.com/cran/BVAR
Dependencies: R
Keywords: R; R package; Journal of Statistical Software; vector autoregression; VAR; multivariate; time series; macroeconomics; structural analysis; hierarchical model; forecast; impulse response; identification; Minnesota prior; FRED-MD; Bayesian econometrics
Related Software: tsDyn; BigVAR; MTS; vars; brms; MCMCglmm; R-INLA; JAGS; BUGS; R; bvartools; WinBUGS; tidybayes; CODA; ggplot2; BVARverse; mvtnorm; mfbvar; bvarsv
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