Bayesian Estimation of Structural Vector Autoregressive Models


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Documentation for package ‘bsvars’ version 3.0.1

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B C E F N P S U V

bsvars-package Bayesian Estimation of Structural Vector Autoregressive Models

-- B --

bsvars Bayesian Estimation of Structural Vector Autoregressive Models

-- C --

compute_conditional_sd Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVAR Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMIX Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMSH Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARSV Computes posterior draws of structural shock conditional standard deviations
compute_fitted_values Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVAR Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMIX Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMSH Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARSV Computes posterior draws from data predictive density
compute_historical_decompositions Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVAR Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMIX Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMSH Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARSV Computes posterior draws of historical decompositions
compute_impulse_responses Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVAR Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMIX Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMSH Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARSV Computes posterior draws of impulse responses
compute_regime_probabilities Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMIX Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMSH Computes posterior draws of regime probabilities
compute_structural_shocks Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVAR Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMIX Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMSH Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARSV Computes posterior draws of structural shocks
compute_variance_decompositions Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVAR Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMIX Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMSH Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARSV Computes posterior draws of the forecast error variance decomposition

-- E --

estimate Bayesian estimation of Structural Vector Autoregressions via Gibbs sampler
estimate.BSVAR Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.BSVARMIX Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.BSVARMSH Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.BSVARSV Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVAR Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.PosteriorBSVARMIX Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.PosteriorBSVARMSH Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVARSV Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler

-- F --

forecast Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVAR Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARMIX Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARMSH Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARSV Forecasting using Structural Vector Autoregression

-- N --

normalise_posterior Waggoner & Zha (2003) row signs normalisation of the posterior draws for matrix B

-- P --

plot.Forecasts Plots fitted values of dependent variables
plot.PosteriorFEVD Plots forecast error variance decompositions
plot.PosteriorFitted Plots fitted values of dependent variables
plot.PosteriorHD Plots historical decompositions
plot.PosteriorIR Plots impulse responses
plot.PosteriorRegimePr Plots estimated regime probabilities
plot.PosteriorShocks Plots structural shocks
plot.PosteriorSigma Plots structural shocks' conditional standard deviations
plot_ribbon Plots the median and an interval between two specified percentiles for a sequence of 'K' random variables

-- S --

specify_bsvar R6 Class representing the specification of the homoskedastic BSVAR model
specify_bsvar_mix R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks.
specify_bsvar_msh R6 Class representing the specification of the BSVAR model with Markov Switching Heteroskedasticity.
specify_bsvar_sv R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.
specify_data_matrices R6 Class Representing DataMatricesBSVAR
specify_identification_bsvars R6 Class Representing IdentificationBSVARs
specify_posterior_bsvar R6 Class Representing PosteriorBSVAR
specify_posterior_bsvar_mix R6 Class Representing PosteriorBSVARMIX
specify_posterior_bsvar_msh R6 Class Representing PosteriorBSVARMSH
specify_posterior_bsvar_sv R6 Class Representing PosteriorBSVARSV
specify_prior_bsvar R6 Class Representing PriorBSVAR
specify_prior_bsvar_mix R6 Class Representing PriorBSVARMIX
specify_prior_bsvar_msh R6 Class Representing PriorBSVARMSH
specify_prior_bsvar_sv R6 Class Representing PriorBSVARSV
specify_starting_values_bsvar R6 Class Representing StartingValuesBSVAR
specify_starting_values_bsvar_mix R6 Class Representing StartingValuesBSVARMIX
specify_starting_values_bsvar_msh R6 Class Representing StartingValuesBSVARMSH
specify_starting_values_bsvar_sv R6 Class Representing StartingValuesBSVARSV
summary.Forecasts Provides posterior summary of Forecasts
summary.PosteriorBSVAR Provides posterior summary of homoskedastic Structural VAR estimation
summary.PosteriorBSVARMIX Provides posterior summary of non-normal Structural VAR estimation
summary.PosteriorBSVARMSH Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVARSV Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorFEVD Provides posterior summary of forecast error variance decompositions
summary.PosteriorFitted Provides posterior summary of variables' fitted values
summary.PosteriorHD Provides posterior summary of historical decompositions
summary.PosteriorIR Provides posterior summary of impulse responses
summary.PosteriorRegimePr Provides posterior summary of regime probabilities
summary.PosteriorShocks Provides posterior summary of structural shocks
summary.PosteriorSigma Provides posterior summary of structural shocks' conditional standard deviations
summary.SDDRautoregression Provides summary of verifying hypotheses about autoregressive parameters
summary.SDDRvolatility Provides summary of verifying homoskedasticity

-- U --

us_fiscal_ex A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 - 2024 Q1
us_fiscal_lsuw A 3-variable US fiscal system for the period 1948 Q1 - 2024 Q1

-- V --

verify_autoregression Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVAR Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMIX Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMSH Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARSV Verifies hypotheses involving autoregressive parameters
verify_volatility Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVAR Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMIX Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMSH Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARSV Verifies heteroskedasticity of structural shocks equation by equation