bvarsv

R package for Bayesian analysis of the Primiceri (2005) model. See the R documentation files (accessible from within the package, e.g. via ?bvar.sv.tvp) and the supporting documents posted above (bvarsv_Nov2015_website.pdf and bvarsv_replication.pdf) for details.

• August 2014: Version 1.0
• November 2015: Version 1.1 (extended functionality for impulse responses and access to parameter draws)
• September 2024: Minor technical update in response to CRAN notes

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.