BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R

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...

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Bibliographic Details
Main Authors: Maximilian Boeck, Martin Feldkircher, Florian Huber
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2022-10-01
Series:Journal of Statistical Software
Subjects:
global vector autoregressions
bayesian inference
time series analysis
r
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/4147

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