- Using an updated version of
Rcpp to address an issue
with Rcpp::stop.
stochvol_ocsn2007 can handle multi-column input.stochvol_ksc1998 can handle multi-column input.- Added
post_gamma_state_variance for posterior
simulation of constant error variances of the state equation.
- Added
post_normal_covar_tvp for posterior simulation of
time varying, lower triangular covariance matrices.
- Added
post_normal_covar_const for posterior simulation
of constant, lower triangular covariance matrices.
- Fixed alias issue resulting from use of
roxygen2.
- Made
kalman_dk callable from C++.
- Stochastic volatility algorithms allow to set the offsetting
constant manually.
- Changed
stoch_vol to a wrapper for
stochvol_ksc1998.
- Added stochastic volatility algorithm of Kim et al. (1998) in a
separate function
stochvol_ksc1998.
- Added stochastic volatility algorithm of Omori et al. (2007) in
function
stochvol_ocsn2007.
- Fixed bug with detection of deterministic terms in
bvar.
- Implemented recursive iterations for forecasts in C++.
- Replaced erroneous
| in C++ sampling functions by
||.
- Addressed CRAN NOTE on CITATION file
- Addressed the CRAN NOTE “Specified C++11: please drop specification
unless essential” by dropping the specification from “src/Makevars”
- Improved the treatment of
bvar and bvec
objects if Gibbs sampler fails.
- Fix erroneous SUR-matrix generation for VEC models with r = 0 in
.bvecalg.
- Fix bug in
.bvecalg and .bvectvpalg with
the storing of posterior draws of beta.
- Fix bug of
predict.bvar, which could not handle only
VARX models with contemporaneous exogenous variables only.
- Model plot functions support boxplots.
- Fix typos in documentation.
- Added functionality for the simulation of models with time varying
parameters, both for VAR and VEC models.
- Added functionality for the simulation of models with stochastic
volatility, both for VAR and VEC models.
- Added a plot function for classes
bvar and
bvec for visual inspection of posterior draws.
- Changed the generation of the output object in the Gibbs sampler
functions
bvaralg and bvecalg to make them
more stable for especially large output.
- Changed
draw_posterior to a generic function and added
the corresponding methods for BVAR, BVEC and DFM input.
- Changed
irf and fevd to generic
functions.
- Corrected typos in documentation.
thin_posterior methods were renamed to
thin and are now methods of coda::thin.- Function
irf allows to specify the size of a
shock.
- Fixed a bug in
ssvs_prior concerning BVEC models.
- Fixed a bug with the prior in the BVEC algorithm.
- Changed
thin_posterior to a generic function and added
methods for BVAR, BVEC and dynamic factor model input.
- Changed
add_prior to a generic function and added
methods for BVAR, BVEC and dynamic factor model input.
- Added funcionality to estimate dynamic factor models (DFM).
predict requires to specify an object of class
ts as input for argument exogen.- Additioal argument checks for
add_priors methods.
- Updated documentation in
minnesota_prior and for
add_prior methods.
- Using instead of \url in documentation
- Omitted package
Matrix from “Imports”” in DESCRIPTION,
which caused a note in version 0.0.3.
- Added function
bvarpost for posterior simulation of
BVAR models.
- Added function
bvecpost for posterior simulation of
BVEC models.
- Added function
draw_posterior for estimation of
multiple models.
- Fixed erroneous calculation of structural forecast error variance
decompositions.
- More specification checks and increased robustness against erroneous
model specificaions.
- Function
fevd calculates FEVDs based on means of
posterior draws of FEVDs and not based on the means of the coefficient
draws.
- Function
bvar and summary.bvar can deal
with inclusion parameters.
- Added funtion
add_priors for easier construction of
prior matrices for multiple models.
gen_var and gen_vec can produce multiple
models.- Changed all argument names of
predict.bvar to lower
cases.
- Changed all argument names of
post_normal,
post_normal_sur, post_coint_kls and
post_coint_kls_sur to lower case letters.
- Replaced output element in function
ssvs from
V_i to v_i.
- Refined function
minnesota_prior and added additional
functionaliy.
- Fixed error message when creating seasonal dummies with
gen_var and gen_vec.
- New data set
us_macrodata.
- Added additional checks in
gen_vec.
- Added functions
inclusion_prior for the calculation of
inclusion probability priors as used by bvs and
ssvs.
- Added
summary functions.
- Fixed conversion and collection of exogenous regressors in
bvec_to_bvar.
- Fixed detection of deterministic terms in
bvec_to_bvar.
- Updated documentation in
kalman_dk.
irf contains a new argument
keep_draws.- Additional checks in
post_normal,
post_normal_sur, post_coint_kls and
post_coint_kls_sur.
- Adapt vignette
bvec.
- Added
loglik_normal for the calculation of a
multivariate normal log-likelihood.
- Updated vignette
ssvs after the introduction of
function ssvs_prior.
- Added
ssvs_prior for the calculation of prior matrices
for the SSVS algorithm.
- Added
minnesota_prior for the calculation of the
Minnesota prior.
- Use unsigned integers for indices in Cpp code to address warnings
during installation.
- Better error handling in
irf.
- In
post_coint_kls_sur the prior matrix g_i
can be time varying.
bvar and predict also work only with
deterministic terms, i.e. p can be zero.- Use SVD to obtain a draw of beta in
post_coint_kls and
post_coint_kls_sur.
predict allows for p = 1.- Add legend to
plot.bvarfevd.