bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

Provides fast and efficient procedures for Bayesian analysis of Structural Vector Autoregressions. This package estimates a wide range of models, including homo-, heteroskedastic, and non-normal specifications. Structural models can be identified by adjustable exclusion restrictions, time-varying volatility, or non-normality. They all include a flexible three-level equation-specific local-global hierarchical prior distribution for the estimated level of shrinkage for autoregressive and structural parameters. Additionally, the package facilitates predictive and structural analyses such as impulse responses, forecast error variance and historical decompositions, forecasting, verification of heteroskedasticity, non-normality, and hypotheses on autoregressive parameters, as well as analyses of structural shocks, volatilities, and fitted values. Beautiful plots, informative summary functions, and extensive documentation complement all this. The implemented techniques align closely with those presented in Lütkepohl, Shang, Uzeda, & Woźniak (2024) <doi:10.48550/arXiv.2404.11057>, Lütkepohl & Woźniak (2020) <doi:10.1016/j.jedc.2020.103862>, and Song & Woźniak (2021) <doi:10.1093/acrefore/9780190625979.013.174>.

Version: 3.0
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.7), RcppProgress (≥ 0.1), RcppTN, GIGrvg, R6, stochvol
LinkingTo: Rcpp, RcppProgress, RcppArmadillo, RcppTN
Suggests: tinytest
Published: 2024-06-19
Author: Tomasz Woźniak ORCID iD [aut, cre]
Maintainer: Tomasz Woźniak <wozniak.tom at pm.me>
BugReports: https://github.com/bsvars/bsvars/issues
License: GPL (≥ 3)
URL: https://bsvars.github.io/bsvars/
NeedsCompilation: yes
Citation: bsvars citation info
Materials: README NEWS
In views: Bayesian, TimeSeries
CRAN checks: bsvars results

Documentation:

Reference manual: bsvars.pdf

Downloads:

Package source: bsvars_3.0.tar.gz
Windows binaries: r-devel: bsvars_2.1.0.zip, r-release: bsvars_2.1.0.zip, r-oldrel: bsvars_2.1.0.zip
macOS binaries: r-release (arm64): bsvars_2.1.0.tgz, r-oldrel (arm64): bsvars_2.1.0.tgz, r-release (x86_64): bsvars_2.1.0.tgz, r-oldrel (x86_64): bsvars_2.1.0.tgz
Old sources: bsvars archive

Linking:

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