bayesianVARs
MCMC Estimation of Bayesian Vectorautoregressions
Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023) doi:10.48550/arXiv.2206.04902. Efficient equation-per-equation estimation following Kastner & Huber (2020) doi:10.1002/for.2680 and Carrerio et al. (2021) doi:10.1016/j.jeconom.2021.11.010.
- Version0.1.5
- R versionunknown
- LicenseGPL (≥ 3)
- Needs compilation?Yes
- Last release11/13/2024
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Team
Luis Gruber
Gregor Kastner
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