RBVAR

RBVAR is a set of functions for the estimation of BVAR models.

Installation

You can install the development version of RBVAR from GitHub with:

# install.packages("devtools")
devtools::install_github("mlitainas/RBVAR")

In the following example I estimate a SVAR using the Inverse-Wishart prior implemented using dummy observations ala Banbura 2007. The identification is recursive. IRFs show the shock for the first variable.

data %>% 
  BVAR_estimation_NIW(lags = 4,reps = 2000,burn = 1000, lamda = 1, tau = 4, epsilon = 0.1 ) %>%  
  BVAR_irf_chol(shock = 1)