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 |
dic.bgvar |
Deviance Information Criterion |
dominant |
pesaranData |
EB.weights |
Monthly EU / G8 countries macroeconomic dataset |
eerData |
Example data set to replicate Feldkircher and Huber (2016) |
excel_to_list |
Read Data from Excel |
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' |
predict |
Predictions |
predict.bgvar |
Predictions |
resid.bgvar |
Extract Residuals of Bayesian GVAR |
resid.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 |
testdata |
Example data set to show functionality of the package |
USexpectations |
Example data set to replicate Feldkircher and Huber (2016) |
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.list |
Example data set to replicate Feldkircher and Huber (2016) |
W.test |
Example data set to show functionality of the package |
W.trade0012 |
Example data set to replicate Feldkircher and Huber (2016) |