Package: mfbvar
Type: Package
Title: Mixed-Frequency Bayesian VAR Models
Version: 0.4.0
Date: 2018-12-17
Authors@R: c(
    person("Sebastian", "Ankargren", email = "sebastian.ankargren@statistics.uu.se", role = c("cre", "aut"), comment = c(ORCID = "0000-0003-4415-8734")),
    person("Yukai", "Yang", email = "yukai.yang@statistics.uu.se", role = c("aut")))
Description: Estimation of mixed-frequency Bayesian vector autoregressive (VAR) models with Minnesota or steady-state priors. The package implements a state space-based VAR model that handles mixed frequencies of the data. The model is estimated using Markov Chain Monte Carlo to numerically approximate the posterior distribution, where the prior can be either the Minnesota prior, as used by Schorfheide and Song (2015) <doi:10.1080/07350015.2014.954707>, or the steady-state prior, as advocated by Ankargren, Unosson and Yang (2018) <http://uu.diva-portal.org/smash/get/diva2:1260262/FULLTEXT01.pdf>.
License: GPL-3
LazyData: TRUE
URL: https://github.com/ankargren/mfbvar
BugReports: https://github.com/ankargren/mfbvar/issues
Imports: Rcpp (>= 0.12.7), ggplot2 (>= 2.2.1), methods, pbapply, utils
LinkingTo: Rcpp, RcppArmadillo
Depends: R (>= 2.10)
Suggests: testthat, covr
RoxygenNote: 6.1.0
NeedsCompilation: yes
Packaged: 2018-12-17 07:26:00 UTC; sebastianankargren
Author: Sebastian Ankargren [cre, aut]
    (<https://orcid.org/0000-0003-4415-8734>),
  Yukai Yang [aut]
Maintainer: Sebastian Ankargren <sebastian.ankargren@statistics.uu.se>
Repository: CRAN
Date/Publication: 2018-12-27 23:00:02 UTC
