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.
- Version1.1
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release11/25/2015
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Team
Fabian Krueger
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