bvartools: Bayesian Inference of Vector Autoregressive Models

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).

Version: 0.1.0
Depends: R (≥ 3.3.0)
Imports: coda, grDevices, graphics, methods, parallel, Rcpp (≥ 0.12.14), stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2020-09-18
Author: Franz X. Mohr [aut, cre]
Maintainer: Franz X. Mohr <bvartools at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: bvartools citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: bvartools results


Reference manual: bvartools.pdf
Vignettes: Introduction to bvartools
Bayesian Error Correction Models with Priors on the Cointegration Space
Model comparison
Stochastic Search Variable Selection
Package source: bvartools_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: bvartools_0.1.0.tgz, r-oldrel: bvartools_0.1.0.tgz
Old sources: bvartools archive


Please use the canonical form to link to this page.