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.

Bayesian Inference of Vector Autoregressive Models
person("Franz X.", "Mohr", email = "bvartools@outlook.com", role = c("aut","cre"))
Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2007, ISBN: 9783540262398).
coda, graphics, Rcpp (>= 0.12.14), stats

coda, grDevices, graphics, Rcpp (>= 0.12.14), stats

coda, grDevices, graphics, Matrix, Rcpp (>= 0.12.14), stats
'RcppExports.R' 'bvar.R' 'bvartools.R' 'bvec.R'
'bvec_to_bvar.R' 'data.R' 'fevd.R' 'gen_var.R' 'gen_vec.R'
'inclusion_prior.R' 'irf.R' 'minnesota_prior.R'
'plot.bvarfevd.R' 'plot.bvarirf.R' 'plot.bvarprd.R'
'predict.bvar.R' 'summary.bvar.R' 'print.summary.bvar.R'
'summary.bvec.R' 'print.summary.bvec.R' 'ssvs_prior.R' 'thin.R'
'zzz.R'

Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) 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).
coda, grDevices, graphics, methods, parallel, Rcpp (>=
0.12.14), stats
'RcppExports.R' 'add_priors.R' 'bvar.R' 'bvarpost.R'
'bvartools.R' 'bvec.R' 'bvec_to_bvar.R' 'bvecpost.R' 'data.R'
'draw_posterior.R' 'fevd.R' 'gen_var.R' 'gen_vec.R'
'inclusion_prior.R' 'irf.R' 'minnesota_prior.R'
'plot.bvarfevd.R' 'plot.bvarirf.R' 'plot.bvarprd.R'
'predict.bvar.R' 'summary.bvar.R' 'print.summary.bvar.R'
'summary.bvec.R' 'print.summary.bvec.R' 'ssvs_prior.R'
'summary.bvarlist.R' 'thin_posterior.R' 'thin_posterior.bvar.R'
'thin_posterior.bvarlist.R' 'thin_posterior.bvec.R' 'zzz.R'