Overview
bvar is a collection of R routines for estimating Linear and Nonlinear Bayesian Vector Autoregressive models in R. The R code is based on the Matlab Code by Blake and Mumtaz (2012) and Koop and Koribilis (2009)
Models and functionalities include:
- VAR Models
- Linear VARs
- Regime Switching VARs
- Threshold VARs
- Factor-Augmented Models
- Identification of Structural Models
- Cholesky decomposition
- Sign Restrictions
- Applications
- Impulse-Response Functions
- Forecast error variance decomposition
- conditional and unconditional forecasting
- historical decomposition
- Utilities
- Plotting of Impulse-Response Functions, Forecasts
- Project Homepage
- Python version (WIP)