BVAR 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 Cited in: 0 Documents Standard Articles 1 Publication describing the Software Year