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BGVAR

Bayesian Global Vector Autoregressions

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available.

Functions (29)

BGVAR-package

BGVAR: Bayesian Global Vector Autoregressions

DIC

Deviance Information Criterion

add_shockinfo

Adding shocks to 'shockinfo' argument

avg.pair.cc

Average Pairwise Cross-sectional Correlations

bgvar

Estimation of Bayesian GVAR

coef

Extract Model Coefficients of Bayesian GVAR

conv.diag

MCMC Convergence Diagnostics

eerData

Example data set to replicate Feldkircher and Huber (2016)

eerDatasmall

Example data set to show functionality of the package

eerDataspf

eerData extended with expectations data

fevd

Forecast Error Variance Decomposition

fitted

Extract Fitted Values of Bayesian GVAR

get_shockinfo

Create shockinfo argument

gfevd

Generalized Forecast Error Variance Decomposition

Historical Decomposition

irf

Impulse Response Function

list_to_matrix

Convert Input List to Matrix

logLik

Extract Log-likelihood of Bayesian GVAR

lps

Compute Log-predictive Scores

matrix_to_list

Convert Input Matrix to List

monthlyData

Monthly EU / G8 countries macroeconomic dataset

pesaranData

pesaranData

plot

Graphical summary of output created with bgvar

predict

Predictions

resid.corr.test

Residual Autocorrelation Test

residuals

Extract Residuals of Bayesian GVAR

rmse

Compute Root Mean Squared Errors

summary

Summary of Bayesian GVAR

vcov

Extract Variance-covariance Matrix of Bayesian GVAR

BGVAR

Bayesian Global Vector Autoregressions

v2.2.0

GPL-3

Authors

Maximilian Boeck [aut, cre] (<https://orcid.org/0000-0001-6024-8305>), Martin Feldkircher [aut] (<https://orcid.org/0000-0002-5511-9215>), Florian Huber [aut] (<https://orcid.org/0000-0002-2896-7921>)

Initial release

BGVAR

Functions (29)

BGVAR

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