Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching Structural Matrix
Efficient algorithms for Bayesian estimation of Structural Vector Autoregressions with Stochastic Volatility heteroskedasticity and Markov-switching structural matrix.
The current version of the package depends on the development version of the bsvars package.
Install the bsvars package first:
devtools::install_git("https://github.com/donotdespair/bsvars.git")
Now, just type in R to install the bsvarTVPs package:
devtools::install_git("https://github.com/donotdespair/bsvarTVPs.git")
