BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R

BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R

Vector autoregression (VAR) models are widely used for multivariate time series analysis in macroeconomics, finance, and related fields. Bayesian methods are often employed to deal with their dense parameterization, imposing structure on model coefficients via prior information. The optimal choice o...

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Bibliographic Details
Main Authors: Nikolas Kuschnig, Lukas Vashold
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2021-11-01
Series:Journal of Statistical Software
Subjects:
vector autoregression
var
bayesian
multivariate
hierarchical
r
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/3832

Internet

https://www.jstatsoft.org/index.php/jss/article/view/3832

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