danielw2904 / bvarrkk

Translation Of Koop And Korobilis BVAR Matlab Code Into R

bvarrKK

The package bvarrKK may be useful for estimating bayesian VAR models.

It contains a translation to R of the matlab code by Gary Koops and Dimitris Korobilis with minor improvements.

You may install the package usinge the commands:

install.packages("devtools")
devtools::install_github("bdemeshev/bvarrKK")

Replication of KK code:

library("bvarr")
data(Yraw)
model <- bvar(Yraw,prior = "independent")
bvar.imp.plot(model)
bvar.summary(model)

This code is not developed anymore. You are free to start...

You may also wish look at BMR, MSBVAR, bvarsv packages.