Quotation Kuschnig, Nikolas, Vashold, Lukas. 2020. BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R. useR! 2020, St. Louis, Vereinigte Staaten/USA, 07.07-11.07.


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Abstract

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 of the degree of informativeness implied by these priors is subject of much debate and can be approached via hierarchical modeling. This paper introduces BVAR, an R package dedicated to the estimation of Bayesian VAR models with hierarchical prior selection. It implements functionalities and options that permit addressing a wide range of research problems, while retaining an easy-to-use and transparent interface. Features include structural analysis of impulse responses, forecasts, the most commonly used conjugate priors, as well as a framework for defining custom dummy-observation priors. BVAR makes Bayesian VAR models user-friendly and provides an accessible reference implementation.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R
Event useR! 2020
Year 2020
Date 07.07-11.07
Country United States/USA
Location St. Louis
URL https://user2020.r-project.org/
JEL C87, C30, C11

Associations

People
Kuschnig, Nikolas (Details)
Vashold, Lukas (Details)
Organization
Department of Economics (Crespo Cuaresma) (Details)
Institute for Ecological Economics IN (Details)
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