Package: bvarsv 1.1.1

bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.

Authors:Fabian Krueger

bvarsv_1.1.1.tar.gz
bvarsv_1.1.1.zip(r-4.5)bvarsv_1.1.1.zip(r-4.4)bvarsv_1.1.1.zip(r-4.3)
bvarsv_1.1.1.tgz(r-4.5-x86_64)bvarsv_1.1.1.tgz(r-4.5-arm64)bvarsv_1.1.1.tgz(r-4.4-x86_64)bvarsv_1.1.1.tgz(r-4.4-arm64)bvarsv_1.1.1.tgz(r-4.3-x86_64)bvarsv_1.1.1.tgz(r-4.3-arm64)
bvarsv_1.1.1.tar.gz(r-4.5-noble)bvarsv_1.1.1.tar.gz(r-4.4-noble)
bvarsv_1.1.1.tgz(r-4.4-emscripten)bvarsv_1.1.1.tgz(r-4.3-emscripten)
bvarsv.pdf |bvarsv.html
bvarsv/json (API)

# Install 'bvarsv' in R:
install.packages('bvarsv', repos = c('https://fk83.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/fk83/bvarsv/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

openblascpp

5.43 score 30 stars 1 packages 60 scripts 655 downloads 6 exports 2 dependencies

Last updated 7 months agofrom:7b601e6857. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 04 2025
R-4.5-win-x86_64OKMar 04 2025
R-4.5-mac-x86_64OKMar 04 2025
R-4.5-mac-aarch64OKMar 04 2025
R-4.5-linux-x86_64OKMar 04 2025
R-4.4-win-x86_64OKMar 04 2025
R-4.4-mac-x86_64OKMar 04 2025
R-4.4-mac-aarch64OKMar 04 2025
R-4.4-linux-x86_64OKMar 04 2025
R-4.3-win-x86_64OKMar 04 2025
R-4.3-mac-x86_64OKMar 04 2025
R-4.3-mac-aarch64OKMar 04 2025

Exports:bvar.sv.tvpimpulse.responsesparameter.drawspredictive.densitypredictive.drawssim.var1.sv.tvp

Dependencies:RcppRcppArmadillo