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bpvars

Forecasting with Bayesian Panel Vector Autoregressions

v1.0 · Dec 11, 2025 · GPL (>= 3)
CRAN GitHub Mirror

Description

Provides Bayesian estimation and forecasting of dynamic panel data using Bayesian Panel Vector Autoregressions with hierarchical prior distributions. The models include country-specific VARs that share a global prior distribution that extend the model by Jarociński (2010) <doi:10.1002/jae.1082>. Under this prior expected value, each country's system follows a global VAR with country-invariant parameters. Further flexibility is provided by the hierarchical prior structure that retains the Minnesota prior interpretation for the global VAR and features estimated prior covariance matrices, shrinkage, and persistence levels. Bayesian forecasting is developed for models including exogenous variables, allowing conditional forecasts given the future trajectories of some variables and restricted forecasts assuring that rates are forecasted to stay positive and less than 100. The package implements the model specification, estimation, and forecasting routines, facilitating coherent workflows and reproducibility. It also includes automated pseudo-out-of-sample forecasting and computation of forecasting performance measures. Beautiful plots, informative summary functions, and extensive documentation complement all this. An extraordinary computational speed is achieved thanks to employing frontier econometric and numerical techniques and algorithms written in 'C++'. The 'bpvars' package is aligned regarding objects, workflows, and code structure with the 'R' packages 'bsvars' by Woźniak (2024) <doi:10.32614/CRAN.package.bsvars> and 'bsvarSIGNs' by Wang & Woźniak (2025) <doi:10.32614/CRAN.package.bsvarSIGNs>, and they constitute an integrated toolset. Copyright: 2025 International Labour Organization.

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CRAN Check Status

6 NOTE
8 OK
Show all 14 flavors
Flavor Status
r-devel-linux-x86_64-debian-clang NOTE
r-devel-linux-x86_64-debian-gcc NOTE
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 NOTE
r-oldrel-macos-arm64 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 NOTE
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 (6 non-OK)
NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-windows-x86_64

compiled code

File 'bpvars/libs/x64/bpvars.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.
NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb
NOTE r-patched-linux-x86_64

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

Check History

NOTE 8 OK · 6 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 6, 2026
NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-windows-x86_64

compiled code

File 'bpvars/libs/x64/bpvars.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.
NOTE r-patched-linux-x86_64

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb
ERROR 8 OK · 5 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 4, 2026
NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
ERROR r-devel-linux-x86_64-debian-gcc

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-windows-x86_64

compiled code

File 'bpvars/libs/x64/bpvars.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.
NOTE r-patched-linux-x86_64

compiled code

File ‘bpvars/libs/bpvars.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 18, 2026
NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb
ERROR 11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Mar 11, 2026
ERROR r-patched-linux-x86_64

examples

Running examples in ‘bpvars-Ex.R’ failed
The error most likely occurred in:

> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: bpvars-package
> ### Title: Forecasting with Bayesian Panel Vector Autoregressions
> ### Aliases: bpvar
...[truncated]...
(estimate(specify_bvarPANEL$new(ilo_dynamic_panel[1:5]),  : 
  REAL() can only be applied to a 'numeric', not a 'NULL'
Fatal error: error during cleanup


 *** caught segfault ***
address 0x7fe20bb94ef7, cause 'invalid permissions'
Segmentation fault
NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb
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 15.4Mb
  sub-directories of 1Mb or more:
    libs  14.1Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.8Mb
  sub-directories of 1Mb or more:
    libs  14.5Mb

Dependency Network

Dependencies Reverse dependencies bsvars R6 Rcpp RcppProgress RcppTN tmvtnsim generics bpvars

Version History

new 1.0 Mar 10, 2026