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BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.5 · Feb 16, 2024 · GPL-3 | file LICENSE
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Description

Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.

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CRAN Check Status

14 OK
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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-macos-arm64 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 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Reverse Dependencies (2)

depends

BVARverse

imports

cforecast

Dependency Network

Dependencies Reverse dependencies mvtnorm BVARverse cforecast BVAR

Version History

new 1.0.5 Mar 10, 2026
updated 1.0.5 ← 1.0.4 diff Feb 15, 2024
updated 1.0.4 ← 1.0.3 diff Mar 7, 2023
updated 1.0.3 ← 1.0.2 diff Feb 24, 2022
updated 1.0.2 ← 1.0.1 diff Nov 25, 2021
updated 1.0.1 ← 1.0.0 diff Sep 26, 2020
updated 1.0.0 ← 0.2.2 diff May 5, 2020
updated 0.2.2 ← 0.2.1 diff Feb 19, 2020
updated 0.2.1 ← 0.2.0 diff Sep 20, 2019
updated 0.2.0 ← 0.1.5 diff Sep 4, 2019
updated 0.1.5 ← 0.1.3 diff Jul 8, 2019
new 0.1.3 May 2, 2019