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