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nk027 / bvar

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.
https://cran.r-project.org/package=BVAR
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Elaborate on the FEVD #50

Closed nk027 closed 4 years ago

nk027 commented 4 years ago

Right now we average over T, in the future we should provide them per horizon. Then it makes sense to offer some plotting methods (e.g. stacked bars).

nk027 commented 4 years ago

So I actually did this in 9157ab72c0f85a741e19c9b9aaf86c1cb1f291b8. Probably insane, but works.