Package: bayesianVARs 0.1.8.9000

bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2025) <doi:10.1016/j.ijforecast.2025.02.001>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.

Authors:Luis Gruber [cph, aut, cre], Stefan Haan [aut], Gregor Kastner [aut, ths]

bayesianVARs_0.1.8.9000.tar.gz
bayesianVARs_0.1.8.9000.zip(r-4.7)bayesianVARs_0.1.8.9000.zip(r-4.6)bayesianVARs_0.1.8.9000.zip(r-4.5)
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bayesianVARs_0.1.8.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
bayesianVARs/json (API)

# Install 'bayesianVARs' in R:
install.packages('bayesianVARs', repos = c('https://luisgruber.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/luisgruber/bayesianvars/issues

Pkgdown/docs site:https://luisgruber.github.io

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

bayesiantime-seriesvectorautoregressionquartoopenblascpp

6.56 score 11 stars 22 scripts 461 downloads 9 exports 23 dependencies

Last updated from:d4cf1f0521. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK223
linux-devel-x86_64OK241
source / vignettesOK368
linux-release-arm64OK244
linux-release-x86_64OK233
macos-release-arm64OK203
macos-release-x86_64OK386
macos-oldrel-arm64OK209
macos-oldrel-x86_64OK330
windows-develOK288
windows-releaseOK300
windows-oldrelOK336
wasm-releaseOK175

Exports:bvarextractB0irfmy_gigposterior_heatmapspecify_prior_phispecify_prior_sigmaspecify_structural_restrictionsstable_bvar

Dependencies:clicodacolorspacecorrplotfactorstochvolfarverGIGrvggluelabelinglatticelifecyclelpSolveAPIMASSmvtnormR6RColorBrewerRcppRcppArmadilloRcppProgressrlangscalesstochvolviridisLite

Scalability of bayesianVARs
Factor specification | Factor specifcation in huge dimensions | Cholesky specification | Empirical demonstration | References
Rendered fromscalability-vignette.qmdusingquarto::html

Last update: 2026-01-28
Started: 2026-01-27

Shrinkage Priors for Bayesian Vectorautoregressions featuring Stochastic Volatility Using the R Package bayesianVARs
References
Rendered frombayesianVARs-vignette.Rmdusingknitr::rmarkdown

Last update: 2026-01-27
Started: 2023-12-22

Compute Impulse Response Functions to Structural Shocks using bayesianVARs
Introduction | Usage examples | Optimism shocks | A Monetary SVAR | Joint credible regions
Rendered fromirf-vignette.Rmdusingknitr::rmarkdown

Last update: 2026-01-23
Started: 2026-01-23

Readme and manuals

Help Manual

Help pageTopics
Extract or Replace Parts of a bayesianVARs_coef object[.bayesianVARs_coef
Extract or Replace Parts of a bayesianVARs_draws object[.bayesianVARs_draws
Markov Chain Monte Carlo Sampling for Bayesian Vectorautoregressionsbvar
Extract VAR coefficientscoef coef.bayesianVARs_bvar
Retrieve the structural parameter \boldsymbol{B}_0 samples from an IRF object.extractB0
Simulate fitted/predicted historical values for an estimated VAR modelfitted.bayesianVARs_bvar
Impulse response functionsirf
Draw from generalized inverse Gaussianmy_gig
Pairwise visualization of out-of-sample posterior predictive densities.pairs.bayesianVARs_predict pairs_predict
Plot method for bayesianVARs_bvarplot.bayesianVARs_bvar
Visualization of in-sample fit of an estimated VAR.plot.bayesianVARs_fitted
Impulse Responses Plotplot.bayesianVARs_irf
Fan chartplot.bayesianVARs_predict
Visualization of the residuals of an estimated VAR.plot.bayesianVARs_residuals
Posterior heatmaps for matrix valued parametersposterior_heatmap
Predict method for Bayesian VARspredict.bayesianVARs_bvar
Pretty printing of a bvar objectprint.bayesianVARs_bvar
Print method for bayesianVARs_predict objectsprint.bayesianVARs_predict
Print method for summary.bayesianVARs_bvar objectsprint.summary.bayesianVARs_bvar
Print method for summary.bayesianVARs_predict objectsprint.summary.bayesianVARs_predict
Extract Model Residualsresiduals.bayesianVARs_bvar
Specify prior on PHIspecify_prior_phi
Specify prior on Sigmaspecify_prior_sigma
Set identifying restrictions for the structural VAR parameters.specify_structural_restrictions
Stable posterior drawsstable_bvar
Summary method for bayesianVARs_bvar objectssummary.bayesianVARs_bvar
Summary statistics for bayesianVARs posterior draws.summary.bayesianVARs_draws
Summary method for bayesianVARs_predict objectssummary.bayesianVARs_predict
Data from the US-economyusmacro_growth
Extract posterior draws of the (time-varying) variance-covariance matrix for a VAR modelvcov.bayesianVARs_bvar