- Using an updated version of
`Rcpp`

to address an issue with`Rcpp::stop`

. `stochvol_ocsn2007`

can handle multi-column input.`stochvol_ksc1998`

can handle multi-column input.- Added
`post_gamma_state_variance`

for posterior simulation of constant error variances of the state equation. - Added
`post_normal_covar_tvp`

for posterior simulation of time varying, lower triangular covariance matrices. - Added
`post_normal_covar_const`

for posterior simulation of constant, lower triangular covariance matrices.

- Fixed alias issue resulting from use of
`roxygen2`

. - Made
`kalman_dk`

callable from C++. - Stochastic volatility algorithms allow to set the offsetting constant manually.
- Changed
`stoch_vol`

to a wrapper for`stochvol_ksc1998`

. - Added stochastic volatility algorithm of Kim et al. (1998) in a separate function
`stochvol_ksc1998`

. - Added stochastic volatility algorithm of Omori et al. (2007) in function
`stochvol_ocsn2007`

. - Fixed bug with detection of deterministic terms in
`bvar`

. - Implemented recursive iterations for forecasts in C++.
- Replaced erroneous
`|`

in C++ sampling functions by`||`

.

- Addressed CRAN NOTE on CITATION file
- Addressed the CRAN NOTE “Specified C++11: please drop specification unless essential” by dropping the specification from “src/Makevars”
- Improved the treatment of
`bvar`

and`bvec`

objects if Gibbs sampler fails. - Fix erroneous SUR-matrix generation for VEC models with r = 0 in
`.bvecalg`

. - Fix bug in
`.bvecalg`

and`.bvectvpalg`

with the storing of posterior draws of beta. - Fix bug of
`predict.bvar`

, which could not handle only VARX models with contemporaneous exogenous variables only. - Model plot functions support boxplots.
- Fix typos in documentation.

- Added functionality for the simulation of models with time varying parameters, both for VAR and VEC models.
- Added functionality for the simulation of models with stochastic volatility, both for VAR and VEC models.
- Added a plot function for classes
`bvar`

and`bvec`

for visual inspection of posterior draws. - Changed the generation of the output object in the Gibbs sampler functions
`bvaralg`

and`bvecalg`

to make them more stable for especially large output. - Changed
`draw_posterior`

to a generic function and added the corresponding methods for BVAR, BVEC and DFM input. - Changed
`irf`

and`fevd`

to generic functions. - Corrected typos in documentation.
`thin_posterior`

methods were renamed to`thin`

and are now methods of`coda::thin`

.- Function
`irf`

allows to specify the size of a shock. - Fixed a bug in
`ssvs_prior`

concerning BVEC models. - Fixed a bug with the prior in the BVEC algorithm.

- Changed
`thin_posterior`

to a generic function and added methods for BVAR, BVEC and dynamic factor model input. - Changed
`add_prior`

to a generic function and added methods for BVAR, BVEC and dynamic factor model input. - Added funcionality to estimate dynamic factor models (DFM).
`predict`

requires to specify an object of class`ts`

as input for argument`exogen`

.- Additioal argument checks for
`add_priors`

methods. - Updated documentation in
`minnesota_prior`

and for`add_prior`

methods. - Using instead of \url in documentation

- Omitted package
`Matrix`

from “Imports”" in DESCRIPTION, which caused a note in version 0.0.3. - Added function
`bvarpost`

for posterior simulation of BVAR models. - Added function
`bvecpost`

for posterior simulation of BVEC models. - Added function
`draw_posterior`

for estimation of multiple models. - Fixed erroneous calculation of structural forecast error variance decompositions.
- More specification checks and increased robustness against erroneous model specificaions.
- Function
`fevd`

calculates FEVDs based on means of posterior draws of FEVDs and not based on the means of the coefficient draws. - Function
`bvar`

and`summary.bvar`

can deal with inclusion parameters. - Added funtion
`add_priors`

for easier construction of prior matrices for multiple models. `gen_var`

and`gen_vec`

can produce multiple models.- Changed all argument names of
`predict.bvar`

to lower cases.

- Changed all argument names of
`post_normal`

,`post_normal_sur`

,`post_coint_kls`

and`post_coint_kls_sur`

to lower case letters. - Replaced output element in function
`ssvs`

from`V_i`

to`v_i`

. - Refined function
`minnesota_prior`

and added additional functionaliy. - Fixed error message when creating seasonal dummies with
`gen_var`

and`gen_vec`

. - New data set
`us_macrodata`

. - Added additional checks in
`gen_vec`

. - Added functions
`inclusion_prior`

for the calculation of inclusion probability priors as used by`bvs`

and`ssvs`

. - Added
`summary`

functions. - Fixed conversion and collection of exogenous regressors in
`bvec_to_bvar`

. - Fixed detection of deterministic terms in
`bvec_to_bvar`

. - Updated documentation in
`kalman_dk`

. `irf`

contains a new argument`keep_draws`

.- Additional checks in
`post_normal`

,`post_normal_sur`

,`post_coint_kls`

and`post_coint_kls_sur`

. - Adapt vignette
`bvec`

. - Added
`loglik_normal`

for the calculation of a multivariate normal log-likelihood.

- Updated vignette
`ssvs`

after the introduction of function`ssvs_prior`

. - Added
`ssvs_prior`

for the calculation of prior matrices for the SSVS algorithm. - Added
`minnesota_prior`

for the calculation of the Minnesota prior. - Use unsigned integers for indices in Cpp code to address warnings during installation.
- Better error handling in
`irf`

. - In
`post_coint_kls_sur`

the prior matrix`g_i`

can be time varying. `bvar`

and`predict`

also work only with deterministic terms, i.e. p can be zero.- Use SVD to obtain a draw of beta in
`post_coint_kls`

and`post_coint_kls_sur`

. `predict`

allows for p = 1.- Add legend to
`plot.bvarfevd`

.

- Initial release