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.

Version: 1.1
Imports: Rcpp (≥ 0.11.0)
LinkingTo: Rcpp, RcppArmadillo
Published: 2015-11-25
Author: Fabian Krueger
Maintainer: Fabian Krueger <Fabian.Krueger83 at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://sites.google.com/site/fk83research/code
NeedsCompilation: yes
Materials: README
CRAN checks: bvarsv results

Downloads:

Reference manual: bvarsv.pdf
Package source: bvarsv_1.1.tar.gz
Windows binaries: r-devel: bvarsv_1.1.zip, r-release: bvarsv_1.1.zip, r-oldrel: bvarsv_1.1.zip
OS X Mavericks binaries: r-release: bvarsv_1.1.tgz, r-oldrel: bvarsv_1.1.tgz
Old sources: bvarsv archive

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