bvartools

Bayesian Inference of Vector Autoregressive and Error Correction Models

CRAN Package

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).


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  • Depends2 packages
  • Imports1 package
  • Suggests2 packages
  • Linking To2 packages
  • Reverse Imports1 package