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Functions for Bayesian inference of vector autoregressive and vector error correction models

R 59.00% C++ 40.95% C 0.04%
bayesian-var gibbs-sampling vector-autoregression bvar bayesian-inference vector-error-correction-model bayesian r-package bvecm mcmc

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bvartools's Issues

Error in plot(bvar_est_min) package bvartools

hi all,

I run a simpe var(2) with 4 endogenous variables no exogenous variables only constant. After executing draw_posterior() command I use the plot(object,type="trace") in order to inspect posterior draws. when executing plot() I receive the error message
"Error in plot.new() : figure margins too large"
thanks in andvance
Dionysios

Error when updating

When I try to update the bvartools package in R from version 0.03 to 0.1.0. I receive the following error:

> install.packages("bvartools")
also installing the dependencies ‘coda’, ‘Rcpp’, ‘RcppArmadillo’


  There is a binary version available but the source version is later:
          binary source needs_compilation
bvartools  0.0.3  0.1.0              TRUE

Do you want to install from sources the package which needs compilation? (Yes/no/cancel) Yes
trying URL 'https://cran.rstudio.com/bin/macosx/contrib/4.0/coda_0.19-3.tgz'
Content type 'application/x-gzip' length 320842 bytes (313 KB)
==================================================
downloaded 313 KB

trying URL 'https://cran.rstudio.com/bin/macosx/contrib/4.0/Rcpp_1.0.5.tgz'
Content type 'application/x-gzip' length 3215939 bytes (3.1 MB)
==================================================
downloaded 3.1 MB

trying URL 'https://cran.rstudio.com/bin/macosx/contrib/4.0/RcppArmadillo_0.9.900.3.0.tgz'
Content type 'application/x-gzip' length 1871293 bytes (1.8 MB)
==================================================
downloaded 1.8 MB


The downloaded binary packages are in
	/var/folders/y8/3xvvn_bx4zq6p1nv4tmt51580000gn/T//RtmpYiLLLM/downloaded_packages
installing the source package ‘bvartools’

trying URL 'https://cran.rstudio.com/src/contrib/bvartools_0.1.0.tar.gz'
Content type 'application/x-gzip' length 337692 bytes (329 KB)
==================================================
downloaded 329 KB

* installing *source* package ‘bvartools’ ...
** package ‘bvartools’ successfully unpacked and MD5 sums checked
** using staged installation
** libs
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c RcppExports.cpp -o RcppExports.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c bvaralg.cpp -o bvaralg.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c bvecalg.cpp -o bvecalg.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c bvs.cpp -o bvs.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c ir.cpp -o ir.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c kalman_dk.cpp -o kalman_dk.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c loglik_normal.cpp -o loglik_normal.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c post_coint_kls.cpp -o post_coint_kls.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c post_coint_kls_sur.cpp -o post_coint_kls_sur.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c post_normal.cpp -o post_normal.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c post_normal_sur.cpp -o post_normal_sur.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c svss.cpp -o svss.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -I"/Library/Frameworks/R.framework/Resources/include" -DNDEBUG -DARMA_NO_DEBUG  -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/Rcpp/include' -I'/Library/Frameworks/R.framework/Versions/4.0/Resources/library/RcppArmadillo/include' -I/usr/local/include   -fPIC  -Wall -g -O2  -c vardecomp.cpp -o vardecomp.o
clang++ -mmacosx-version-min=10.13 -std=gnu++11 -dynamiclib -Wl,-headerpad_max_install_names -undefined dynamic_lookup -single_module -multiply_defined suppress -L/Library/Frameworks/R.framework/Resources/lib -L/usr/local/lib -o bvartools.so RcppExports.o bvaralg.o bvecalg.o bvs.o ir.o kalman_dk.o loglik_normal.o post_coint_kls.o post_coint_kls_sur.o post_normal.o post_normal_sur.o svss.o vardecomp.o -L/Library/Frameworks/R.framework/Resources/lib -lRlapack -L/Library/Frameworks/R.framework/Resources/lib -lRblas -L/usr/local/gfortran/lib/gcc/x86_64-apple-darwin18/8.2.0 -L/usr/local/gfortran/lib -lgfortran -lquadmath -lm -F/Library/Frameworks/R.framework/.. -framework R -Wl,-framework -Wl,CoreFoundation
ld: warning: directory not found for option '-L/usr/local/gfortran/lib/gcc/x86_64-apple-darwin18/8.2.0'
ld: warning: directory not found for option '-L/usr/local/gfortran/lib'
ld: library not found for -lgfortran
clang: error: linker command failed with exit code 1 (use -v to see invocation)
make: *** [bvartools.so] Error 1
ERROR: compilation failed for package ‘bvartools’
* removing ‘/Library/Frameworks/R.framework/Versions/4.0/Resources/library/bvartools’
Warning in install.packages :
  installation of package ‘bvartools’ had non-zero exit status

The downloaded source packages are in
	‘/private/var/folders/y8/3xvvn_bx4zq6p1nv4tmt51580000gn/T/RtmpYiLLLM/downloaded_packages’

Do you perhaps have any idea how I could solve this?

Thanks in advance!
Rosa

Question about "new_d" argument in "predict"

Hello!
I have a question about the "new_d" argument in the "predict()" function. The example is unfortunately not very clear to me.
The example dataset e1 has three variables (invest, income, cons) but "new_d" has only one row. How can the function identify for which variable this vector represents deterministic terms?
What if, for example I wanted to provide 10 new datapoints for "income", while predicting the other two variables?
What if I have data for both cons and income, for example? How would I have to change the argument "new_d" in this case? I hope my understanding is not too wrong.
Thank you very much for your help!

summary function for TVP-VECM

When working with TVP-VECMs the summary method for class bvec gives Error in x[[jj]][iseq] <- vjj : replacement has length zero.

Example of TVP-VEC usage

Hello Franz, I appreciate the effort you put into your work. Could you please provide me with an example of how to use your package to run TVP-VEC type models? In case you don't have an example, can you guide me to the .R file which contains the call for the TVP-VEC model? Perhaps I can work on it from there. Thank you for all your hard work!

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