MCMC Estimation of Bayesian Vectorautoregressions

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Documentation for package ‘bayesianVARs’ version 0.1.2

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bvar Markov Chain Monte Carlo Sampling for Bayesian Vectorautoregressions
coef Extract VAR coefficients
coef.bayesianVARs_bvar Extract VAR coefficients
fitted.bayesianVARs_bvar Simulate fitted/predicted historical values for an estimated VAR model
my_gig Draw from generalized inverse Gaussian
pairs.bayesianVARs_predict Pairwise visualization of out-of-sample posterior predictive densities.
pairs_predict Pairwise visualization of out-of-sample posterior predictive densities.
plot.bayesianVARs_bvar Plot method for bayesianVARs_bvar
plot.bayesianVARs_fitted Visualization of in-sample fit of an estimated VAR.
plot.bayesianVARs_predict Fan chart
posterior_heatmap Posterior heatmaps for VAR coefficients or variance-covariance matrices
predict.bayesianVARs_bvar Predict method for Bayesian VARs
print.bayesianVARs_bvar Pretty printing of a bvar object
print.bayesianVARs_predict Print method for bayesianVARs_predict objects
print.summary.bayesianVARs_bvar Print method for summary.bayesianVARs_bvar objects
print.summary.bayesianVARs_predict Print method for summary.bayesianVARs_predict objects
specify_prior_phi Specify prior on PHI
specify_prior_sigma Specify prior on Sigma
stable_bvar Stable posterior draws
summary.bayesianVARs_bvar Summary method for bayesianVARs_bvar objects
summary.bayesianVARs_draws Summary statistics for bayesianVARs posterior draws.
summary.bayesianVARs_predict Summary method for bayesianVARs_predict objects
usmacro_growth Data from the US-economy
vcov.bayesianVARs_bvar Extract posterior draws of the (time-varying) variance-covariance matrix for a VAR model
[.bayesianVARs_coef Extract or Replace Parts of a bayesianVARs_coef object
[.bayesianVARs_draws Extract or Replace Parts of a bayesianVARs_draws object