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 (2025) <doi:10.1016/j.ijforecast.2025.02.001>. 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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.8 |
rolling linux/jammy R-4.5 | bayesianVARs_0.1.8.tar.gz |
1.1 MiB |
0.1.8 |
rolling linux/noble R-4.5 | bayesianVARs_0.1.8.tar.gz |
1.1 MiB |
0.1.8 |
rolling source/ R- | bayesianVARs_0.1.8.tar.gz |
771.3 KiB |
0.1.8 |
latest linux/noble R-4.5 | bayesianVARs_0.1.8.tar.gz |
1.1 MiB |
0.1.8 |
latest source/ R- | bayesianVARs_0.1.8.tar.gz |
771.3 KiB |
0.1.8 |
latest linux/jammy R-4.5 | bayesianVARs_0.1.8.tar.gz |
1.1 MiB |
0.1.8 |
2026-04-26 source/ R- | bayesianVARs_0.1.8.tar.gz |
771.3 KiB |
0.1.8 |
2026-04-23 source/ R- | bayesianVARs_0.1.8.tar.gz |
771.3 KiB |
0.1.8 |
2026-04-09 windows/windows R-4.5 | bayesianVARs_0.1.8.zip |
1.4 MiB |
0.1.5 |
2025-04-20 source/ R- | bayesianVARs_0.1.5.tar.gz |
314.9 KiB |