Bayesian Global Vector Autoregressions


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Documentation for package ‘BGVAR’ version 2.2.4

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BGVAR-package BGVAR: Bayesian Global Vector Autoregressions
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
coef.bgvar Extract Model Coefficients of Bayesian GVAR
coefficients.bgvar Extract Model Coefficients of Bayesian GVAR
conv.diag MCMC Convergence Diagnostics
DIC Deviance Information Criterion
dominant pesaranData
EA.weights Monthly EU / G8 countries macroeconomic dataset
EAData pesaranData
EADiff pesaranData
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
fevd.bgvar.irf Forecast Error Variance Decomposition
fitted Extract Fitted Values of Bayesian GVAR
fitted.bgvar Extract Fitted Values of Bayesian GVAR
get_shockinfo Create 'shockinfo' argument
gfevd Generalized Forecast Error Variance Decomposition
gfevd.bgvar Generalized Forecast Error Variance Decomposition
hd Historical Decomposition
hd.bgvar.irf Historical Decomposition
irf Impulse Response Function
irf.bgvar Impulse Response Function
list_to_matrix Convert Input List to Matrix
logLik Extract Log-likelihood of Bayesian GVAR
logLik.bgvar Extract Log-likelihood of Bayesian GVAR
lps Compute Log-predictive Scores
lps.bgvar.pred Compute Log-predictive Scores
matrix_to_list Convert Input Matrix to List
monthlyData Monthly EU / G8 countries macroeconomic dataset
OC.weights Monthly EU / G8 countries macroeconomic dataset
pesaranData pesaranData
pesaranDiff pesaranData
plot Graphical summary of output created with 'bgvar'
plot.bgvar Graphical summary of output created with 'bgvar'
plot.bgvar.fevd Graphical summary of output created with 'bgvar'
plot.bgvar.irf Graphical summary of output created with 'bgvar'
plot.bgvar.pred Graphical summary of output created with 'bgvar'
plot.bgvar.resid Graphical summary of output created with 'bgvar'
ppp pesaranData
predict Predictions
predict.bgvar Predictions
resid.bgvar Extract Residuals of Bayesian GVAR
resid.corr.test Residual Autocorrelation Test
residual.corr.test Residual Autocorrelation Test
residuals Extract Residuals of Bayesian GVAR
residuals.bgvar Extract Residuals of Bayesian GVAR
rmse Compute Root Mean Squared Errors
rmse.bgvar.pred Compute Root Mean Squared Errors
summary Summary of Bayesian GVAR
summary.bgvar Summary of Bayesian GVAR
tA pesaranData
tA.EA pesaranData
vcov Extract Variance-covariance Matrix of Bayesian GVAR
vcov.bgvar Extract Variance-covariance Matrix of Bayesian GVAR
W Monthly EU / G8 countries macroeconomic dataset
W.8016 pesaranData
W.EA.9916 pesaranData
W.list Example data set to replicate Feldkircher and Huber (2016)
W.trade0012 Example data set to replicate Feldkircher and Huber (2016)
W.trade0012.small Example data set to show functionality of the package
W.trade0012.spf eerData extended with expectations data