bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.

Version: 1.1
Imports: Rcpp (≥ 0.11.0)
LinkingTo: Rcpp, RcppArmadillo
Published: 2015-11-25
DOI: 10.32614/CRAN.package.bvarsv
Author: Fabian Krueger
Maintainer: Fabian Krueger <Fabian.Krueger83 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
In views: Bayesian
CRAN checks: bvarsv results


Reference manual: bvarsv.pdf


Package source: bvarsv_1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): bvarsv_1.1.tgz, r-oldrel (arm64): bvarsv_1.1.tgz, r-release (x86_64): bvarsv_1.1.tgz, r-oldrel (x86_64): bvarsv_1.1.tgz
Old sources: bvarsv archive

Reverse dependencies:

Reverse imports: tvReg


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