shrinkTVPVAR
Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage
Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with stochastic volatility (TVP-VAR-SV) under shrinkage priors and dynamic shrinkage processes. Details on the TVP-VAR-SV model and the shrinkage priors can be found in Cadonna et al. (2020) <doi:10.3390/econometrics8020020>, details on the software can be found in Knaus et al. (2021) <doi:10.18637/jss.v100.i13>, while details on the dynamic shrinkage process can be found in Knaus and Frühwirth-Schnatter (2023) <doi:10.48550/arXiv.2312.10487>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.1 |
rolling linux/jammy R-4.5 | shrinkTVPVAR_1.0.1.tar.gz |
319.0 KiB |
1.0.1 |
rolling linux/noble R-4.5 | shrinkTVPVAR_1.0.1.tar.gz |
335.5 KiB |
1.0.1 |
rolling source/ R- | shrinkTVPVAR_1.0.1.tar.gz |
52.3 KiB |
1.0.1 |
latest linux/jammy R-4.5 | shrinkTVPVAR_1.0.1.tar.gz |
319.0 KiB |
1.0.1 |
latest linux/noble R-4.5 | shrinkTVPVAR_1.0.1.tar.gz |
335.5 KiB |
1.0.1 |
latest source/ R- | shrinkTVPVAR_1.0.1.tar.gz |
52.3 KiB |
1.0.1 |
2026-04-26 source/ R- | shrinkTVPVAR_1.0.1.tar.gz |
52.3 KiB |
1.0.1 |
2026-04-23 source/ R- | shrinkTVPVAR_1.0.1.tar.gz |
52.3 KiB |
1.0.1 |
2026-04-09 windows/windows R-4.5 | shrinkTVPVAR_1.0.1.zip |
646.2 KiB |
0.1.1 |
2025-04-20 source/ R- | shrinkTVPVAR_0.1.1.tar.gz |
41.0 KiB |