All functions
|
bvar_build_X
|
Build X matrix from supplied data |
bvar_build_Y
|
Build Y matrix from supplied data |
bvar_conj_delta
|
Create [m x 1] vector of deltas from delta description |
bvar_conj_dummy2hyper
|
Calculate hyperparameters from artificial observations |
bvar_conj_estimate
|
Estimate bvar conjugate model from setup |
bvar_conj_forecast
|
predict with conjugate Normal-Inverse-Wishart bayesian VAR model |
bvar_conj_hyper2dummy
|
Calculate artificial observations from hyperparameters |
bvar_conj_lambda2dummy
|
Create dummy observations from lambdas |
bvar_conj_lambda2hyper
|
Create prior hyperparameters from lambdas |
bvar_conj_mdd
|
Calculate log marginal data density |
bvar_conj_setup
|
Create model setup from lambdas |
bvar_conj_sigma2
|
Create [m x 1] vector of sigma^2 from supplied time series |
bvar_conj_simulate
|
Simulate from conjugate N-IW posterior distribution |
bvar_conj_summary
|
summary of a conjugate Normal-Inverse-Wishart bayesian VAR model |
bvar_conjugate0
|
Estimate conjugate Normal-Inverse-Wishart bayesian VAR model |
bvar_create_X_colnames
|
Get X column names from exo_varnames and endo_varnames |
bvar_get_endo_varnames
|
Get endogeneous variable names from supplied data |
bvar_get_exo_varnames
|
Get exogeneous variable names from supplied data |
bvar_get_Y_in
|
Recover original Y_in from Y, X and number of lags p |
Carriero_priors
|
Set conjugate N-IW priors from lambdas as in Carriero |
forecast_conjugate
|
predict with conjugate Normal-Inverse-Wishart bayesian VAR model |
is.diagonal
|
check whether matrix is diagonal |
KK_code_priors
|
Set conjugate N-IW priors as in matlab code of Koops-Korobilis |
lmvgamma
|
Multivariate log-gamma-function |
macro_russia
|
Russian macroeconomic indicators data.frame |
marginal_data_density
|
Calculate log marginal data density |
summary_conjugate
|
summary of a conjugate Normal-Inverse-Wishart bayesian VAR model |
sym_inv
|
Compute inverse of symmetric positive definite matrix using Cholesky decomposition |
Yraw
|
US inflation, employement and interest rate data.frame |