Markov-Switching Bayesian Vector Autoregression Models

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Documentation for package ‘MSBVAR’ version 0.3.2

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A02mcmc Converts A0 objects to coda MCMC objects
BCFdata Subset of Data from Brandt, Colaresi, and Freeman (2007)
cf.forecasts Compare VAR forecasts to each other or real data
decay.spec Lag decay specification check
dfev Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
forc.ecdf Empirical CDF computations for posterior forecast samples
forecast Generate forecasts for fitted VAR objects
gibbs.A0 Gibbs sampler for posterior of Bayesian structural vector autoregression models
granger.test Bivariate Granger causality testing
hc.forecast Forecast density estimation of hard condition forecasts for VAR models via MCMC
irf Impulse Response Function (IRF) Computation for a VAR
IsraelPalestineConflict Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
mae Mean absolute error of VAR forecasts
mc.irf Monte Carlo Integration / Simulation of Impulse Response Functions
mcmc.szbsvar Gibbs sampler for coefficients of a B-SVAR model
mountains Mountain plots for summarizing forecast densities
normalize.svar Likelihood normalization of SVAR models
null.space Find the null space of a matrix
plot.forc.ecdf Plots VAR forecasts and their empirical error bands
plot.forecast Plots competing sets of VAR forecasts or a single set of VAR forecasts
plot.gibbs.A0 Plot a parameter density summary for B-SVAR A(0) objects
plot.irf Plots impulse responses
plot.mc.irf Plotting posteriors of Monte Carlo simulated impulse responses
posterior.fit Estimates the marginal likelihood and posterior probability for VAR, BVAR, and BSVAR models
print.dfev Printing DFEV tables
print.posterior.fit Print method for posterior fit measures
reduced.form.var Estimation of a reduced form VAR model
restmtx Utility function for generating the restriction matrix for hard condition forecasting
rmse Root mean squared error of a Monte Carlo / MCMC sample of forecasts
rmultnorm Multivariate Normal Random Number Generator
rwishart Random deviates from a Wishart distribution
summary Summary functions for VAR / BVAR / B-SVAR model objects
summary.dfev Printing DFEV tables
summary.VAR Summary functions for VAR / BVAR / B-SVAR model objects
SZ.prior.evaluation Sims-Zha Bayesian VAR Prior Specification Search
szbsvar Structural Sims-Zha Bayesian VAR model estimation
szbvar Reduced form Sims-Zha Bayesian VAR model estimation
uc.forecast Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR models via MCMC
var.lag.specification Automated VAR lag specification testing
Y Subset of Data from Brandt, Colaresi, and Freeman (2007)
z2 Subset of Data from Brandt, Colaresi, and Freeman (2007)