BGVAR

Maximilian Böck, Martin Feldkircher, Florian Huber, Darjus Hosszejni

Publikation: Elektronische/multimediale VeröffentlichungenSoftware

Abstract

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available.
OriginalspracheEnglisch
PublikationsstatusVeröffentlicht - 6 Nov. 2021

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

  • 102022 Softwareentwicklung
  • 101018 Statistik
  • 502025 Ökonometrie
  • 101026 Zeitreihenanalyse

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