Description
Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 <doi:10.18637/jss.v104.i09>.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE May 2, 2026
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 22, 2026
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.5Mb
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.6Mb
installed package size
installed size is 5.6Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 1.3Mb
ERROR 10 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 18, 2026
whether package can be installed
Installation failed. See 'd:/Rcompile/CRANpkg/local/4.6/BGVAR.Rcheck/00install.out' for details.
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.5Mb
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.6Mb
installed package size
installed size is 5.6Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 1.3Mb
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.5Mb
installed package size
installed size is 10.9Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 6.6Mb
installed package size
installed size is 5.6Mb
sub-directories of 1Mb or more:
doc 2.8Mb
libs 1.3Mb