BVAR - CRAN Update 10

Add historical decompositions and RMSE/LPS, and WAIC for analysis
Improve the algorithm to draw sign restrictions
- Shocks are now built and checked per variable
Fix the CRAN NOTE on missing tangle output
Update FRED-datasets to 2023-10 vintage
- Newer FRED-QD files include (unannounced) small naming changes

- R
Published by nk027 about 2 years ago

BVAR - CRAN Update 9

Fix bug from last update, where automatic ARIMA-priors where sqrt'd twice
- Thanks to Michael Wolf for pointing this out, and
- many thanks to Nirai Tomass for discovering the bug
Update FRED-MD and FRED-QD datasets to the 2023-02 vintage

- R
Published by nk027 almost 3 years ago

BVAR - CRAN Update 8

Fix bug where warnings caused an error during automatic ARIMA-based priors
- Thanks to Martin Feldkircher for pointing this out

- R
Published by nk027 almost 4 years ago

BVAR - CRAN Update 7 / JSS Release

Add reference to the new JSS publication
Update FRED-QD and FRED-MD datasets to 2021-10
Fix minor issues with vignette (e.g. fixed dataset, references, etc)
Add verbosity to ARIMA-based automatic prior settings
Add hook to simplify use of shared generics with vars

- R
Published by nk027 about 4 years ago

BVAR - CRAN Update 6 / JSS Editing

Add identification via zero- and sign-restrictions (see Arias et al. 2018).
Prepare for tidy outputs using BVARverse.
Minor fixes (typos, references, documentation, internals).

- R
Published by nk027 over 5 years ago

BVAR - CRAN Update 5 / JSS Revision 2

Major release

Thanks to users, reviewers, and colleagues for plenty of inputs! This release adds new functions, improves existing ones, significantly speeds up estimation, fixes bugs, adds documentation and unit tests. The highlights are: - A new vignette with a lot of background, additional information, and some applied examples. - The monthly FRED-MD dataset is now also included, thanks to the people at the Fed. - New transformation helpers speed up data preparation (see fred_transform()). - Conditional forecasts are now supported by predict(). - Estimation should now be between twice and ten times as fast.

See NEWS.md for a full list of changes.

- R
Published by nk027 almost 6 years ago

BVAR - CRAN Update 4 / Impulse Response Hotfix

Fixed impulse response calculation by removing a stray transpose of the coefficient matrix. Thanks to Maximilian Böck for helping us track this down. Prepared for the next major release by including messages on changing functionality.

- R
Published by nk027 about 6 years ago

BVAR - CRAN Update 3 / FRED-QD ODC-BY 1.0

Cleared up licensing of the FRED-QD dataset - it is now available under a modified ODC-BY 1.0 license, which is available in the LICENSE file.