Package: MSBVAR
Title: Bayesian Vector Autoregression Models
Version: 0.3.2
Author: Patrick T. Brandt <pbrandt@utdallas.edu>
Description: Provides methods for estimating frequentist and Bayesian
Vector Autoregression (VAR) models.  Also includes methods for the
generating posterior inferences for VAR forecasts and error
decompositions.

Maintainer: Patrick T. Brandt  <pbrandt@utdallas.edu>
License: GPL


/* Revisions and History */
2005-03-17 Initial version
2005-07-21 Revised to new site and location.  Revised forecasting
	   functions to match the Political Analysis paper by Brandt
           and Freeman.
2005-09-15 Revised documentation and code to pass checks for generics.
	   Included Israeli-Palestinian dataset for examples.
2005-10-18 Incorporates preliminary functions for Bayesian SVAR models.
2006-01-19 Updated calls to Matrix package so they do not default to
           using sparse matrices in MSBVAR functions.
2006-01-29 Revised impulse response plotting functions to plot shocks
           / impulses in the columns and responses in the rows. The
	   code was documented to work this way, but delivered an
           incorrect plot.  Also changed the irf.var() function so
	   that it used an UPPER triangular A0 matrix rather than a
           lower one (the former is consistent with the return from
           chol()).
2006-02-01 Updated plotting functions for IRFs to use correct ylims
           for response plots.
2006-02-02 Removed creation of "L" in the LU decomposition used to
           backsolve structural VAR systems in "drawA0".  The U's from
	   the lu(t(A0)) are valid -- sometimes the Matrix library
           cannot generate a well behaved L, but it is not necessary
	   for the Gibbs sampler.
2006-02-10 Changed starting value computation for structural.szbvar()
	   from a set of N(0,25) to N(0,1).
	   Added a tolerance of 1e-12 to QR decompositions in drawing
           A(0) for B-SVAR models.
2006-02-18 Version 0.1.6
	   Replaced LU decompositions with QR
           decompositions in the computation of the orthonormal basis
           of the B-SVAR model posterior sampling.
	   Removed dependency on matrix package by replacing LU
           decompositions with QR decompositions
2006-02-24 Corrected limits for plots in plot.irf.var().  Previous
           versions could truncate the plot axes incorrectly.
2006-03-02 Corrected an error in the computation of the marginal data
           density for B-SVAR models.  Optimized code for computing
           posterior fit measures for
	   posterior.fit.structural.szbvar()
2006-03-07 Corrected overflow error in some computations of the log
	   determinants in posterior.fit.structural.szbvar() by
	   changing the computation of the log determinant for a
	   diagonal matrix to the simpler sum of the diagonal
           elements or using the determinant(,logarithm=T) function. 
2006-03-15 Version 0.1.9
	   1) Added option to change normalization rules for A(0) in
           sampling the structural parameters of B-SVAR models.
           Previous versions had hard coded the normalization.  New
	   version supports all of the normalization rules in
	   normalize.svar().  Documentation for this change has been
           updated as well.
2006-03-15 Version 0.1.10	
	   1) Corrected matrix inversion of A(0) in
	   mc.irf.structural.szbvar() and mcmc.structural.szbvar().
	   Previous version were possibly zeroing out A(0) terms
	   incorrectly when computing IRFs.  This did NOT affect the
	   sampling of IRFs using gibbs.A0.structural.szbvar().
	   2) Corrected indexing of AR coefficients and intercepts for
           the output object in reduced.form.var().  Previous version
	   selected the wrong coefficients for the intercept and AR(1)
	   terms.
2006-03-17 Version 0.1.11 
	   Changed order of arguments in gibbs.A0.structural.szbvar()
	   so that the normalization options do not break older
	   code.
2006-03-26 Added forced matrix via as.matrix for testing Ui object
	   dimensions in b2a function in hidden.R
2006-04-01 Version 0.1.12
	   Now requires "coda" package.
	   Flattened the A0 and W objects that are output by gibbs.A0
	   function to conserve memory.  Lowers the memory overhead
           for B-SVAR models by nearly 70% allowing for longer runs of
	   the Gibbs sampler.
	   Added function "A02mcmc" to convert A0 posterior draws to
           coda mcmc objects.
2006-04-06 Changed selection criteria in var.lag.specification to
           include the Hannan-Quinn measure and to minimize fit
	   criteria.
2006-04-07 Added a check on the rank of the exogenous variables to the
	   structural.szbvar() function.
2006-06-18 Implemented classes for VAR, BVAR, and B-SVAR models.
	   Class based dispatching is now available for most
	   post-estimation tasks such as impulse responses, Monte
	   Carlo sampling, plotting, etc.   Some function names have
	   changed from previous (post 0.1.1) versions.  Please be
	   aware of this.
2006-07-15 Revised documentation to acccount for new class-based
	   dispatching.
2006-09-19 Corrected incorrect handling of intercepts in
           reduced.form.var() function.  Previous version thought the
	   intercept was the first, when it should be the last
	   coefficients.
2007-06-18 C++ implementations added for sampling and posterior
	   inferences
2007-10-23 Bug fixes: corrected summary() methods for VAR, BVAR and
           BSVAR classes and fixed bugs in gibbs.A0(), the Gibbs
	   sampler for B-SVAR models.  Thanks to Tatevik Sekhposyan
	   for helping find this bug.
2007-10-29 Updated uc.forecast() to allow for forecasts with exogenous
	   regressors.  The previous version would crash if there were
	   exogenous regressors to be included in the forecast
	   horizon.
2007-12-06 Fixed classes / defaults for plot.mc.irf() related
	   functions.  Previous versions had hard coded values rather
	   than allowing the user to control the arguments.  Thanks
	   to Mike Colaresi for finding this bug.	 
2008-04-22 Updated defaults to plot.mc.irf to properly pass user
	   arguments (which may have been arbitrarily ignored in the
	   past).  Also updated the sanity.check.prior() functions
	   that are internal to the B-(S)VAR estimators.  Some of
	   these recommendations were non-sensical or required
	   exogenous variables (a very VAR taboo).
2008-10-10 Upgraded version to 0.3.2, requires R 2.7.0 or higher,
	   updated UTD address info, and copyright dates.
	   Cleaned up empty documentation sections.


MSBVAR Package
Copyright (C) 2005-2008 Patrick T. Brandt
Support provided by the U.S. National Science Foundation
(Grants SES-0351179, SES-0351205, and SES-0540816)

Patrick T. Brandt
School of Economic, Political and Policy Sciences
University of Texas at Dallas
800 W. Campbell Rd, Green 31
Richardson, Texas 75080
http://yule.utdallas.edu
http://www.utdallas.edu/~pbrandt
pbrandt@utdallas.edu
