bvar
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nk027
Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows fo...
Hello, First, thanks a lot for developing the package! I am relying on it heavily in my daily work. However, only recently I started to doubt if I understand the...
Commit e647054 adds historical decomps; would be nice to be able to visualize them quickly.
Hi, To what extent someone can reproduce or use the methods here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3669856 And more specifically, is possible to do a scenario of an anticipated vs unanticipated shock? and narrative...
FEVD plot
We could add a quick and dirty plot for FEVDs: ```r library("BVAR") example(bvar) # Use example data fevd_data
At the moment, most posterior summaries report quantiles (to convey uncertainty) and not the mean. Especially for methods lie `coef` or `vcov` this may not be ideal. Maybe we should...
The prior mean defaults to 1, but should be zero for growth rates -- maybe we can include a warning/message if it hasn't been set appropriately.
Hi there, I am wondering if there has been any work done to build a function that rather than utilizing parallelization to construct several BVAR models, instead distributes the tasks...
Hi, I have few exogenous variables in my dataset which are to be controlled for . Can the same be handled using bvar() as I haven't came across any arguments...
Extend identification schemes to restrict impulse responses not only on impact, but also for longer horizons. Both for pure sign restrictions as well as zero and sign restrictions.
There seems to be some interest for this and estimation-wise the implementation should be feasible. However, analysis and some potentially important details may diverge to the point where it does...