Bayesian Estimation of Structural Vector Autoregressive Models

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Documentation for package ‘bsvars’ version 1.0.0

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bsvars-package Bayesian Estimation of Structural Vector Autoregressive Models
bsvars Bayesian Estimation of Structural Vector Autoregressive Models
estimate_bsvar Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate_bsvar_mix Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate_bsvar_msh Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate_bsvar_sv Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler
normalise_posterior Waggoner & Zha (2003) row signs normalisation of the posterior draws for matrix B
specify_bsvar R6 Class representing the specification of the homoskedastic BSVAR model
specify_bsvar_mix R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks.
specify_bsvar_msh R6 Class representing the specification of the BSVAR model with Markov Switching Heteroskedasticity.
specify_bsvar_sv R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.
specify_data_matrices R6 Class Representing DataMatricesBSVAR
specify_identification_bsvars R6 Class Representing IdentificationBSVARs
specify_posterior_bsvar R6 Class Representing PosteriorBSVAR
specify_posterior_bsvar_mix R6 Class Representing PosteriorBSVAR-MIX
specify_posterior_bsvar_msh R6 Class Representing PosteriorBSVAR-MSH
specify_posterior_bsvar_sv R6 Class Representing PosteriorBSVAR-SV
specify_prior_bsvar R6 Class Representing PriorBSVAR
specify_prior_bsvar_mix R6 Class Representing PriorBSVAR-MIX
specify_prior_bsvar_msh R6 Class Representing PriorBSVAR-MSH
specify_prior_bsvar_sv R6 Class Representing PriorBSVAR-SV
specify_starting_values_bsvar R6 Class Representing StartingValuesBSVAR
specify_starting_values_bsvar_mix R6 Class Representing StartingValuesBSVAR-MIX
specify_starting_values_bsvar_msh R6 Class Representing StartingValuesBSVAR-MSH
specify_starting_values_bsvar_sv R6 Class Representing StartingValuesBSVAR-SV
us_fiscal_lsuw A 3-variable US fiscal system for the period 1950 Q1 - 2021 Q4