bvarsv

R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (folder ``man’’) for details.

• First commit: August 18, 2014
• Version 1.1: April 9, 2015
• Update on November 17, 2015 (extended functionality for impulse responses and access to parameter draws)

The (stable version of the) package is on CRAN (https://cran.r-project.org/web/packages/bvarsv/index.html).

References

Primiceri, G E (2005): ``Time Varying Structural Vector Autoregressions and Monetary Policy’’, Review of Economic Studies 72, 821-852.

Del Negro, M and G E Primiceri (2015): ``Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum’’, Review of Economic Studies 82, 1342-1345.