Data

Tools

Indexes

Applications

Experiments

Open Source Science

bayesianvars

MCMC estimation of Bayesian Vectorautoregressions

https://github.com/luisgruber/bayesianvars

Science Score: 26.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ○
    CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
  • ✓
    .zenodo.json file
    Found .zenodo.json file
  • ○
    DOI references
  • ○
    Academic publication links
  • ○
    Academic email domains
  • ○
    Institutional organization owner
  • ○
    JOSS paper metadata
  • ○
    Scientific vocabulary similarity
    Low similarity (13.5%) to scientific vocabulary

Keywords

bayesian package r time-series vectorautoregression
Last synced: 6 months ago · JSON representation

Repository

MCMC estimation of Bayesian Vectorautoregressions

Basic Info
Statistics
  • Stars: 9
  • Watchers: 2
  • Forks: 5
  • Open Issues: 2
  • Releases: 6
Topics
bayesian package r time-series vectorautoregression
Created over 4 years ago · Last pushed 6 months ago
Metadata Files
Readme Changelog License

README.md

bayesianVARs

R-CMD-check CRAN status <!-- badges: end -->

Estimation of Bayesian vectorautoregressions with/without stochastic volatility.

Implements several modern hierarchical shrinkage priors, amongst them Dirichlet-Laplace prior (DL), hierarchical Minnesota prior (HM), Horseshoe prior (HS), normal-gamma prior (NG), $R^2$-induced-Dirichlet-decomposition prior (R2D2) and stochastic search variable selection prior (SSVS).

Concerning the error-term, the user can either specify an order-invariant factor structure or an order-variant cholesky structure.

Installation

Install CRAN version:

r install.packages("bayesianVARs")

Install latest development version directly from GitHub:

r devtools::install_github("luisgruber/bayesianVARs")

Usage

The main workhorse to conduct Bayesian inference for vectorautoregression models in this package is the function bvar().

Some features:

  • Prediction, plotting, extraction of model parameters and extraction of fitted values with the usual generic functions predict(), plot(), coef(), vcov() and fitted().
  • Configure prior distributions with helper functions specify_prior_phi() and specify_prior_sigma().

Demonstration

``` r set.seed(537)

load package

library(bayesianVARs)

Load data

traindata <-100 * usmacrogrowth[1:237,c("GDPC1", "PCECC96", "GPDIC1", "AWHMAN", "GDPCTPI", "CES2000000008x", "FEDFUNDS", "GS10", "EXUSUKx", "S&P 500")] testdata <-100 * usmacrogrowth[238:241,c("GDPC1", "PCECC96", "GPDIC1", "AWHMAN", "GDPCTPI", "CES2000000008x", "FEDFUNDS", "GS10", "EXUSUKx", "S&P 500")]

Estimate model using default prior settings

mod <- bvar(traindata, lags = 2L, draws = 2000, burnin = 1000, svkeep = "all")

Out of sample prediction and log-predictive-likelihood evaluation

pred <- predict(mod, ahead = 1:4, LPL = TRUE, Yobs = testdata)

Visualize in-sample fit plus out-of-sample prediction intervals

plot(mod, predictions = pred) ```

Documentation

bayesianVARs - Shrinkage Priors for Bayesian Vectorautoregressions in R

Owner

  • Login: luisgruber
  • Kind: user

GitHub Events

Total
  • Release event: 1
  • Watch event: 3
  • Push event: 5
  • Pull request event: 1
  • Create event: 1
Last Year
  • Release event: 1
  • Watch event: 3
  • Push event: 5
  • Pull request event: 1
  • Create event: 1

Packages

  • Total packages: 1
  • Total downloads:
    • cran 702 last-month
  • Total dependent packages: 0
  • Total dependent repositories: 0
  • Total versions: 6
  • Total maintainers: 1
cran.r-project.org: bayesianVARs

MCMC Estimation of Bayesian Vectorautoregressions

  • Versions: 6
  • Dependent Packages: 0
  • Dependent Repositories: 0
  • Downloads: 702 Last month
Rankings
Dependent packages count: 28.4%
Dependent repos count: 36.4%
Average: 49.9%
Downloads: 84.9%
Maintainers (1)
Luis.Gruber@aau.at
Last synced: 6 months ago

Dependencies

.github/workflows/R-CMD-check.yaml actions
  • actions/checkout v3 composite
  • r-lib/actions/check-r-package v2 composite
  • r-lib/actions/setup-pandoc v2 composite
  • r-lib/actions/setup-r v2 composite
  • r-lib/actions/setup-r-dependencies v2 composite
DESCRIPTION cran
  • R >= 2.10 depends
  • GIGrvg * imports
  • MASS * imports
  • Rcpp * imports
  • colorspace * imports
  • mvtnorm * imports
  • stats * imports
  • stochvol * imports
.github/workflows/pkgdown.yaml actions
  • JamesIves/github-pages-deploy-action v4.4.1 composite
  • actions/checkout v3 composite
  • r-lib/actions/setup-pandoc v2 composite
  • r-lib/actions/setup-r v2 composite
  • r-lib/actions/setup-r-dependencies v2 composite
  • r-lib/actions/setup-tinytex v2 composite