Description
Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Par….
Description
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.
README.md
bvarsv
R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (folder ``man'') for details.
- First commit: August 18, 2014
- Version 1.1: April 9, 2015
- Update on November 17, 2015 (extended functionality for impulse responses and access to parameter draws)
The (stable version of the) package is on CRAN (https://cran.r-project.org/web/packages/bvarsv/index.html).
References
Primiceri, G E (2005): ``Time Varying Structural Vector Autoregressions and Monetary Policy'', Review of Economic Studies 72, 821-852.
Del Negro, M and G E Primiceri (2015): ``Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum'', Review of Economic Studies 82, 1342-1345.