# Bayesian Estimation of Structural Vector Autoregressive Models

## Documentation for package ‘bsvars’ version 3.0

- DESCRIPTION file.
- Package NEWS.

## Help Pages

B C E F N P S U V

bsvars-package | Bayesian Estimation of Structural Vector Autoregressive Models

## -- B --

bsvars | Bayesian Estimation of Structural Vector Autoregressive Models

## -- C --

compute_conditional_sd | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVAR | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMIX | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMSH | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARSV | Computes posterior draws of structural shock conditional standard deviations
compute_fitted_values | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVAR | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMIX | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMSH | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARSV | Computes posterior draws from data predictive density
compute_historical_decompositions | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVAR | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMIX | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMSH | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARSV | Computes posterior draws of historical decompositions
compute_impulse_responses | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVAR | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMIX | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMSH | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARSV | Computes posterior draws of impulse responses
compute_regime_probabilities | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMIX | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMSH | Computes posterior draws of regime probabilities
compute_structural_shocks | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVAR | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMIX | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMSH | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARSV | Computes posterior draws of structural shocks
compute_variance_decompositions | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVAR | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMIX | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMSH | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARSV | Computes posterior draws of the forecast error variance decomposition

## -- E --

estimate | Bayesian estimation of Structural Vector Autoregressions via Gibbs sampler
estimate.BSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.BSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.BSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.BSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.PosteriorBSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.PosteriorBSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler

## -- F --

forecast | Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVAR | Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARMIX | Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARMSH | Forecasting using Structural Vector Autoregression
forecast.PosteriorBSVARSV | Forecasting using Structural Vector Autoregression

## -- N --

normalise_posterior | Waggoner & Zha (2003) row signs normalisation of the posterior draws for matrix B

## -- P --

plot.Forecasts | Plots fitted values of dependent variables
plot.PosteriorFEVD | Plots forecast error variance decompositions
plot.PosteriorFitted | Plots fitted values of dependent variables
plot.PosteriorHD | Plots historical decompositions
plot.PosteriorIR | Plots impulse responses
plot.PosteriorRegimePr | Plots estimated regime probabilities
plot.PosteriorShocks | Plots structural shocks
plot.PosteriorSigma | Plots structural shocks' conditional standard deviations
plot_ribbon | Plots the median and an interval between two specified percentiles for a sequence of 'K' random variables

## -- S --

specify_bsvar | R6 Class representing the specification of the homoskedastic BSVAR model
specify_bsvar_mix | R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks.
specify_bsvar_msh | R6 Class representing the specification of the BSVAR model with Markov Switching Heteroskedasticity.
specify_bsvar_sv | R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.
specify_data_matrices | R6 Class Representing DataMatricesBSVAR
specify_identification_bsvars | R6 Class Representing IdentificationBSVARs
specify_posterior_bsvar | R6 Class Representing PosteriorBSVAR
specify_posterior_bsvar_mix | R6 Class Representing PosteriorBSVARMIX
specify_posterior_bsvar_msh | R6 Class Representing PosteriorBSVARMSH
specify_posterior_bsvar_sv | R6 Class Representing PosteriorBSVARSV
specify_prior_bsvar | R6 Class Representing PriorBSVAR
specify_prior_bsvar_mix | R6 Class Representing PriorBSVARMIX
specify_prior_bsvar_msh | R6 Class Representing PriorBSVARMSH
specify_prior_bsvar_sv | R6 Class Representing PriorBSVARSV
specify_starting_values_bsvar | R6 Class Representing StartingValuesBSVAR
specify_starting_values_bsvar_mix | R6 Class Representing StartingValuesBSVARMIX
specify_starting_values_bsvar_msh | R6 Class Representing StartingValuesBSVARMSH
specify_starting_values_bsvar_sv | R6 Class Representing StartingValuesBSVARSV
summary.Forecasts | Provides posterior summary of Forecasts
summary.PosteriorBSVAR | Provides posterior summary of homoskedastic Structural VAR estimation
summary.PosteriorBSVARMIX | Provides posterior summary of non-normal Structural VAR estimation
summary.PosteriorBSVARMSH | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVARSV | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorFEVD | Provides posterior summary of forecast error variance decompositions
summary.PosteriorFitted | Provides posterior summary of variables' fitted values
summary.PosteriorHD | Provides posterior summary of historical decompositions
summary.PosteriorIR | Provides posterior summary of impulse responses
summary.PosteriorRegimePr | Provides posterior summary of regime probabilities
summary.PosteriorShocks | Provides posterior summary of structural shocks
summary.PosteriorSigma | Provides posterior summary of structural shocks' conditional standard deviations
summary.SDDRautoregression | Provides summary of verifying hypotheses about autoregressive parameters
summary.SDDRvolatility | Provides summary of verifying homoskedasticity

## -- U --

us_fiscal_ex | A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 - 2024 Q1
us_fiscal_lsuw | A 3-variable US fiscal system for the period 1948 Q1 - 2024 Q1

## -- V --

verify_autoregression | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVAR | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMIX | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMSH | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARSV | Verifies hypotheses involving autoregressive parameters
verify_volatility | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVAR | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMIX | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMSH | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARSV | Verifies heteroskedasticity of structural shocks equation by equation