bayesianVARs
MCMC Estimation of Bayesian Vectorautoregressions
v0.1.8
·
Feb 19, 2026
·
GPL (>= 3)
Description
Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2025) <doi:10.1016/j.ijforecast.2025.02.001>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.
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| 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-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| 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 details (2 non-OK)
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r-oldrel-macos-arm64
installed package size
installed size is 9.8Mb
sub-directories of 1Mb or more:
doc 1.1Mb
libs 8.3Mb
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r-oldrel-macos-x86_64
installed package size
installed size is 10.2Mb
sub-directories of 1Mb or more:
doc 1.1Mb
libs 8.6Mb
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NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 9.8Mb
sub-directories of 1Mb or more:
doc 1.1Mb
libs 8.3Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 10.2Mb
sub-directories of 1Mb or more:
doc 1.1Mb
libs 8.6Mb
Dependency Network
Version History
new
0.1.8
Mar 10, 2026
new
0.1.0
Jan 12, 2024