Bayesian Global Vector Autoregressive (BGVAR) models


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Documentation for package ‘BGVAR’ version 1.1.3

Help Pages

avg.pair.cc Average pairwise cross-sectional correlations
bgvar Estimate a Bayesian GVAR
BVAR_linear Bayesian VAR
conv.diag MCMC Convergence Diagnostics
eerData Example data set to replicate Feldkircher and Huber (2016)
fcast Compute forecasts
fcast.plot Forecast plot
fevd.decomp Forecast error variance decomposition (FEVD)
get.res Calculate residuals of the global and the country models
getweights getweights
GFEVD.LN Generalized Forecast error variance decomposition (GFEVD) akin to Lanne-Nyberg (2016)
hd.decomp Historical decomposition and structural error
IRF Impulse Response Function
irf.plot Function to plot impulse responses
lps Log predictive scores (LPS)
monthlyData Example data set
print.bgvar Summary function.
remove_outliers Outlier smoothing
resid.corr.test Residual autocorrelation test
rot.eval Rotation matrix diagnostics for sign restrictions