Bayesian Global Vector Autoregressions

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Documentation for package ‘BGVAR’ version 2.5.8

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

BGVAR-package	BGVAR: Bayesian Global Vector Autoregressions
add_shockinfo	Adding shocks to 'shockinfo' argument
avg.pair.cc	Average Pairwise Cross-Sectional Correlations
bgvar	Estimation of Bayesian GVAR
coef	Extract Model Coefficients of Bayesian GVAR
coef.bgvar	Extract Model Coefficients of Bayesian GVAR
coefficients.bgvar	Extract Model Coefficients of Bayesian GVAR
conv.diag	MCMC Convergence Diagnostics
dic	Deviance Information Criterion
dic.bgvar	Deviance Information Criterion
dominant	pesaranData
EB.weights	Monthly EU / G8 countries macroeconomic dataset
eerData	Example data set to replicate Feldkircher and Huber (2016)
excel_to_list	Read Data from Excel
fevd	Forecast Error Variance Decomposition
fevd.bgvar.irf	Forecast Error Variance Decomposition
fitted	Extract Fitted Values of Bayesian GVAR
fitted.bgvar	Extract Fitted Values of Bayesian GVAR
get_shockinfo	Create 'shockinfo' argument
gfevd	Generalized Forecast Error Variance Decomposition
gfevd.bgvar	Generalized Forecast Error Variance Decomposition
hd	Historical Decomposition
hd.bgvar.irf	Historical Decomposition
irf	Impulse Response Function
irf.bgvar	Impulse Response Function
list_to_matrix	Convert Input List to Matrix
logLik	Extract Log-likelihood of Bayesian GVAR
logLik.bgvar	Extract Log-likelihood of Bayesian GVAR
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
pesaranDiff	pesaranData
plot	Graphical Summary of Output Created with 'bgvar'
plot.bgvar	Graphical Summary of Output Created with 'bgvar'
plot.bgvar.fevd	Graphical Summary of Output Created with 'bgvar'
plot.bgvar.irf	Graphical Summary of Output Created with 'bgvar'
plot.bgvar.pred	Graphical Summary of Output Created with 'bgvar'
plot.bgvar.resid	Graphical Summary of Output Created with 'bgvar'
predict	Predictions
predict.bgvar	Predictions
resid.bgvar	Extract Residuals of Bayesian GVAR
resid.corr.test	Residual Autocorrelation Test
residuals	Extract Residuals of Bayesian GVAR
residuals.bgvar	Extract Residuals of Bayesian GVAR
rmse	Compute Root Mean Squared Errors
rmse.bgvar.pred	Compute Root Mean Squared Errors
summary	Summary of Bayesian GVAR
summary.bgvar	Summary of Bayesian GVAR
tA	pesaranData
testdata	Example data set to show functionality of the package
USexpectations	Example data set to replicate Feldkircher and Huber (2016)
vcov	Extract Variance-covariance Matrix of Bayesian GVAR
vcov.bgvar	Extract Variance-covariance Matrix of Bayesian GVAR
W	Monthly EU / G8 countries macroeconomic dataset
W.8016	pesaranData
W.list	Example data set to replicate Feldkircher and Huber (2016)
W.test	Example data set to show functionality of the package
W.trade0012	Example data set to replicate Feldkircher and Huber (2016)