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