Bayesian Estimation of Structural Vector Autoregressive Models
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Documentation for package ‘bsvars’ version 3.1
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| 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_conditional_sd.PosteriorBSVART | 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_fitted_values.PosteriorBSVART | 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_historical_decompositions.PosteriorBSVART | 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_impulse_responses.PosteriorBSVART | 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_structural_shocks.PosteriorBSVART | 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 |
| compute_variance_decompositions.PosteriorBSVART | 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.BSVART | Bayesian estimation of a homoskedastic Structural Vector Autoregression with t-distributed structural shocks 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 |
| estimate.PosteriorBSVART | Bayesian estimation of a homoskedastic Structural Vector Autoregression with t-distributed structural shocks 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 |
| forecast.PosteriorBSVART | 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_bsvar_t | R6 Class representing the specification of the BSVAR model with t-distributed structural shocks. |
| 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_posterior_bsvar_t | R6 Class Representing PosteriorBSVART |
| 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_prior_bsvar_t | R6 Class Representing PriorBSVART |
| 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 |
| specify_starting_values_bsvar_t | R6 Class Representing StartingValuesBSVART |
| 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.PosteriorBSVART | Provides posterior summary of Structural VAR with t-distributed shocks 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.SDDRidMIX | Provides summary of verifying shocks' normality |
| summary.SDDRidMSH | Provides summary of verifying homoskedasticity |
| summary.SDDRidSV | Provides summary of verifying homoskedasticity |
| summary.SDDRidT | Provides summary of verifying shocks' normality |
| 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_autoregression.PosteriorBSVART | Verifies hypotheses involving autoregressive parameters |
| verify_identification | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| verify_identification.PosteriorBSVAR | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| verify_identification.PosteriorBSVARMIX | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| verify_identification.PosteriorBSVARMSH | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| verify_identification.PosteriorBSVARSV | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| verify_identification.PosteriorBSVART | Verifies identification through heteroskedasticity or non-normality of of structural shocks |
| 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 |