BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R
This document introduces the R package BGVAR to estimate Bayesian global vector autoregressions (GVAR) with shrinkage priors and stochastic volatility. The Bayesian treatment of GVARs allows to include large information sets by mitigating issues related to overfitting. This often improves inference...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2022-10-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4147 |
| _version_ | 1797813932075778048 |
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| author | Maximilian Boeck Martin Feldkircher Florian Huber |
| author_facet | Maximilian Boeck Martin Feldkircher Florian Huber |
| author_sort | Maximilian Boeck |
| collection | DOAJ |
| description | This document introduces the R package BGVAR to estimate Bayesian global vector autoregressions (GVAR) with shrinkage priors and stochastic volatility. The Bayesian treatment of GVARs allows to include large information sets by mitigating issues related to overfitting. This often improves inference as well as out-of-sample forecasts. Computational efficiency is achieved by using C++ to considerably speed up time-consuming functions. To maximize usability, the package includes numerous functions for carrying out structural inference and forecasting. These include generalized and structural impulse response functions, forecast error variance, and historical decompositions as well as conditional forecasts. |
| first_indexed | 2024-03-13T08:00:00Z |
| format | Article |
| id | doaj.art-4f52afcb51ce49bd8047aac2a426cb03 |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-03-13T08:00:00Z |
| publishDate | 2022-10-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-4f52afcb51ce49bd8047aac2a426cb032023-06-01T18:48:03ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602022-10-0110412810.18637/jss.v104.i093934BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in RMaximilian Boeck0https://orcid.org/0000-0001-6024-8305Martin Feldkircher1https://orcid.org/0000-0002-5511-9215Florian Huber2https://orcid.org/0000-0002-2896-7921Vienna University of Economics and BusinessVienna School of International StudiesUniversity of SalzburgThis document introduces the R package BGVAR to estimate Bayesian global vector autoregressions (GVAR) with shrinkage priors and stochastic volatility. The Bayesian treatment of GVARs allows to include large information sets by mitigating issues related to overfitting. This often improves inference as well as out-of-sample forecasts. Computational efficiency is achieved by using C++ to considerably speed up time-consuming functions. To maximize usability, the package includes numerous functions for carrying out structural inference and forecasting. These include generalized and structural impulse response functions, forecast error variance, and historical decompositions as well as conditional forecasts.https://www.jstatsoft.org/index.php/jss/article/view/4147global vector autoregressionsbayesian inferencetime series analysisr |
| spellingShingle | Maximilian Boeck Martin Feldkircher Florian Huber BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R Journal of Statistical Software global vector autoregressions bayesian inference time series analysis r |
| title | BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R |
| title_full | BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R |
| title_fullStr | BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R |
| title_full_unstemmed | BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R |
| title_short | BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R |
| title_sort | bgvar bayesian global vector autoregressions with shrinkage priors in r |
| topic | global vector autoregressions bayesian inference time series analysis r |
| url | https://www.jstatsoft.org/index.php/jss/article/view/4147 |
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