Package index • bsvarSIGNs

bsvarSIGNs: Bayesian Estimation of Structural Vector Autoregressions Identified by Sign, Zero, and Narrative Restrictions

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bsvarSIGNs-package bsvarSIGNs: Bayesian Estimation of Structural Vector Autoregressions Identified by Sign, Zero, and Narrative Restrictions

Data

Upload sample data set

optimism: A 5-variable US business cycle data, from 1955 Q1 to 2004 Q4

monetary: A 6-variable US monetary policy data, from 1965 Jan to 2007 Aug

Model specification

Choose a model to work with

specify_bsvarSIGN: R6 Class representing the specification of the BSVARSIGN model

specify_identification_bsvarSIGN: R6 Class Representing IdentificationBSVARSIGN

specify_narrative(): vector specifying one narrative restriction

specify_posterior_bsvarSIGN: R6 Class Representing PosteriorBSVARSIGN

specify_prior_bsvarSIGN: R6 Class Representing PriorBSVAR

More detailed model specification

Adjust or inspect the specified model

specify_identification_bsvarSIGN: R6 Class Representing IdentificationBSVARSIGN

specify_prior_bsvarSIGN: R6 Class Representing PriorBSVAR

Estimation

Run Bayesian estimation of your model and inspect the outputs

estimate(<BSVARSIGN>): Bayesian estimation of a Structural Vector Autoregression with traditional and narrative sign restrictions via Gibbs sampler

specify_posterior_bsvarSIGN: R6 Class Representing PosteriorBSVARSIGN

Forecasting

Predict future values of your variables

forecast(<PosteriorBSVARSIGN>): Forecasting using Structural Vector Autoregression

Structural analyses

Compute interpretable outcomes

compute_conditional_sd(<PosteriorBSVARSIGN>): Computes posterior draws of structural shock conditional standard deviations

compute_fitted_values(<PosteriorBSVARSIGN>): Computes posterior draws from data predictive density

compute_historical_decompositions(<PosteriorBSVARSIGN>): Computes posterior draws of historical decompositions

compute_impulse_responses(<PosteriorBSVARSIGN>): Computes posterior draws of impulse responses

compute_structural_shocks(<PosteriorBSVARSIGN>): Computes posterior draws of structural shocks

compute_variance_decompositions(<PosteriorBSVARSIGN>): Computes posterior draws of the forecast error variance decomposition

Posterior summaries

Analyse the posterior summaries of the posterior estimation outcomes using function summary()

Plot your results

Prepare beautiful and informative plots for your analyses using function plot()