BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R
This document introduces the R package BGVAR to estimate Bayesian global vector autoregressions (GVAR) with shrinkage priors and stochastic volatility. The Bayesian treatment of GVARs allows to include large information sets by mitigating issues related to overfitting. This often improves inference...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2022-10-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4147 |
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