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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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Diagnostics #83

Closed msh855 closed 9 months ago

msh855 commented 1 year ago

Hi,

I don't see any function for diagnostics (forecast evaluations) and model selection. For example, specifying the right lag order and evaluating the accuracy of the forecasts.

Can you please help?

nk027 commented 9 months ago

Commit e647054 adds lps, rmse, and WAIC for this purpose, closing the issue.