Bayesian Global Vector Autoregressions


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Documentation for package ‘BGVAR’ version 2.0.0

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AIC.bgvar Akaike Information Criterion
avg.pair.cc Average pairwise cross-sectional correlations
bgvar BGVAR
BIC.bgvar Bayesian Information Criterion
coef.bgvar Extract model coefficients
coefficients.bgvar Extract model coefficients
cond.pred Conditional Forecasts
cond.predict Conditional Forecasts
conv.diag MCMC convergence diagnostics
DIC Deviance Information Criterion
EA.weights Monthly EU / G8 countries macroeconomic dataset
eerData Example data set to replicate Feldkircher and Huber (2016)
eerDataspf eerData extended with expectations data
fevd.decomp Forecast Error Variance Decomposition
fitted.bgvar Extract Model Fitted Values
gfevd.decomp Generalized Forecast Error Variance Decomposition
hd.decomp Historical Decomposition
IRF Impulse Response Functions
IRF.cf Counterfactual Analysis
list_to_matrix Convert Input List to Matrix
logLik.bgvar Extract Log-Likelihood
lps Compute log-predictive scores
lps.bgvar.pred Compute log-predictive scores
matrix_to_list Convert Input Matrix to List
monthlyData Monthly EU / G8 countries macroeconomic dataset
OC.weights Monthly EU / G8 countries macroeconomic dataset
pesaranData pesaranData
plot.bgvar Plotting function for fitted values
plot.bgvar.fevd Plotting Function for Forecast Error Variance Decomposition
plot.bgvar.irf Plot predictions of bgvar
plot.bgvar.pred Plot predictions of bgvar
plot.bgvar.resid Plotting function for residuals
predict.bgvar Compute predictions
print Print bgvar Output
print.bgvar Print bgvar Output
print.bgvar.CD Print convergence diagnostics
print.bgvar.lps Print prediction evaulation
print.bgvar.rmse Print prediction evaulation
resid.bgvar Extract residuals of Global Vector Autoregression
resid.corr.test Residual autocorrelation test
residual.corr.test Residual autocorrelation test
residuals Extract residuals of Global Vector Autoregression
residuals.bgvar Extract residuals of Global Vector Autoregression
rmse Compute root mean squared errors
rmse.bgvar.predict Compute root mean squared errors
summary Summarizing Bayesian Global Vector Autoregression Fits
summary.bgvar Summarizing Bayesian Global Vector Autoregression Fits
tA pesaranData
vcov.bgvar Extract variance-covariance matrix
W Monthly EU / G8 countries macroeconomic dataset
W.1316 pesaranData
W.list Example data set to replicate Feldkircher and Huber (2016)
W.trade0012 Example data set to replicate Feldkircher and Huber (2016)
W.trade0012.spf eerData extended with expectations data