Bayesian Vector Autoregression Models, Impulse Responses and Forecasting.

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Documentation for package `MSBVAR' version 0.1

Help Pages

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 models
forc.ecdf Empirical CDF computations for posterior forecast samples
forecast.var Generate forecasts for fitted VAR objects
granger.test Bivariate Granger causality testing
hc.forecast.var Forecast density estimation of hard condition forecasts for VAR models via MCMC
irf.var 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.var Monte Carlo Integration / Simulation of Impulse Response Functions
mountains Mountain plots for summarizing forecast densities
plot.forc.ecdf Plots VAR forecasts and their empirical error bands
plot.irf.var Plots impulse responses
plot.mc.irf.var Plotting posteriors of Monte Carlo simulated impulse responses
plot.var.forecasts Plots competing sets of VAR forecasts or a single set of VAR forecasts
print.dfev Printing DFEV tables
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.dfev Printing DFEV tables
SZ.prior.evaluation Sims-Zha Bayesian VAR Prior Specification Search
szbvar Sims-Zha Bayesian VAR model estimation
uc.forecast.var Forecast density estimation unconditional forecasts for VAR models via MCMC
var.lag.specification Automated VAR lag specification testing