# Bayesian Estimation of Structural Vector Autoregressive Models

## Documentation for package ‘bsvars’ version 4.0

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

B C E F N P S U V

bsvars-package | Bayesian Estimation of Structural Vector Autoregressive Models

## -- B --

bsvars | Bayesian Estimation of Structural Vector Autoregressive Models

## -- C --

compute_conditional_sd | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVAR | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVAREXH | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARHMSH | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMIX | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARMSH | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVARSV | Computes posterior draws of structural shock conditional standard deviations
compute_conditional_sd.PosteriorBSVART | Computes posterior draws of structural shock conditional standard deviations
compute_fitted_values | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVAR | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVAREXH | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARHMSH | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMIX | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARMSH | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVARSV | Computes posterior draws from data predictive density
compute_fitted_values.PosteriorBSVART | Computes posterior draws from data predictive density
compute_historical_decompositions | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVAR | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVAREXH | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARHMSH | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMIX | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARMSH | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVARSV | Computes posterior draws of historical decompositions
compute_historical_decompositions.PosteriorBSVART | Computes posterior draws of historical decompositions
compute_impulse_responses | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVAR | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVAREXH | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARHMSH | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMIX | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARMSH | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVARSV | Computes posterior draws of impulse responses
compute_impulse_responses.PosteriorBSVART | Computes posterior draws of impulse responses
compute_regime_probabilities | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVAREXH | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARHMSH | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMIX | Computes posterior draws of regime probabilities
compute_regime_probabilities.PosteriorBSVARMSH | Computes posterior draws of regime probabilities
compute_structural_shocks | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVAR | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVAREXH | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARHMSH | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMIX | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARMSH | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVARSV | Computes posterior draws of structural shocks
compute_structural_shocks.PosteriorBSVART | Computes posterior draws of structural shocks
compute_variance_decompositions | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVAR | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVAREXH | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARHMSH | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMIX | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARMSH | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVARSV | Computes posterior draws of the forecast error variance decomposition
compute_variance_decompositions.PosteriorBSVART | Computes posterior draws of the forecast error variance decomposition

## -- E --

estimate | Bayesian estimation of Structural Vector Autoregressions via Gibbs sampler
estimate.BSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.BSVAREXH | Bayesian estimation of a Structural Vector Autoregression with exogenous heteroskedastic regime changes via Gibbs sampler
estimate.BSVARHMSH | Bayesian estimation of a Structural Vector Autoregression with Heterogeneous Markov-switching heteroskedasticity via Gibbs sampler
estimate.BSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.BSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.BSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler
estimate.BSVART | Bayesian estimation of a homoskedastic Structural Vector Autoregression with t-distributed structural shocks via Gibbs sampler
estimate.PosteriorBSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler
estimate.PosteriorBSVAREXH | Bayesian estimation of a Structural Vector Autoregression with exogenous heteroskedastic regime changes via Gibbs sampler
estimate.PosteriorBSVARHMSH | Bayesian estimation of a Structural Vector Autoregression with Heterogeneous Markov-switching heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler
estimate.PosteriorBSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler
estimate.PosteriorBSVART | Bayesian estimation of a homoskedastic Structural Vector Autoregression with t-distributed structural shocks via Gibbs sampler

## -- F --

forecast.PosteriorBSVAR | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVAREXH | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVARHMSH | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVARMIX | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVARMSH | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVARSV | Forecasting using Bayesian Structural Vector Autoregression
forecast.PosteriorBSVART | Forecasting using Bayesian Structural Vector Autoregression

## -- N --

normalise | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVAR | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVAREXH | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVARHMSH | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVARMIX | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVARMSH | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVARSV | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B
normalise.PosteriorBSVART | Waggoner & Zha (2003) row signs normalisation of the posterior draws for the structural matrix B

## -- P --

plot.Forecasts | Plots fitted values of dependent variables
plot.PosteriorFEVD | Plots forecast error variance decompositions
plot.PosteriorFitted | Plots fitted values of dependent variables
plot.PosteriorHD | Plots historical decompositions
plot.PosteriorIR | Plots impulse responses
plot.PosteriorRegimePr | Plots estimated regime probabilities
plot.PosteriorShocks | Plots structural shocks
plot.PosteriorSigma | Plots structural shocks' conditional standard deviations
plot_ribbon | Plots the median and an interval between two specified percentiles for a sequence of 'K' random variables

## -- S --

specify_bsvar | R6 Class representing the specification of the homoskedastic BSVAR model
specify_bsvar_exh | R6 Class representing the specification of the BSVAREXH model with exogenous heteroskedastic regime change.
specify_bsvar_hmsh | R6 Class representing the specification of the BSVARHMSH model with Heterogeneous Markov Switching Heteroskedasticity.
specify_bsvar_mix | R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks.
specify_bsvar_msh | R6 Class representing the specification of the BSVAR model with Markov Switching Heteroskedasticity.
specify_bsvar_sv | R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity.
specify_bsvar_t | R6 Class representing the specification of the BSVAR model with t-distributed structural shocks.
specify_data_matrices | R6 Class Representing DataMatricesBSVAR
specify_forecasts | R6 Class Representing Forecasts
specify_identification_bsvars | R6 Class Representing IdentificationBSVARs
specify_posterior_bsvar | R6 Class Representing PosteriorBSVAR
specify_posterior_bsvar_exh | R6 Class Representing PosteriorBSVAREXH
specify_posterior_bsvar_hmsh | R6 Class Representing PosteriorBSVARHMSH
specify_posterior_bsvar_mix | R6 Class Representing PosteriorBSVARMIX
specify_posterior_bsvar_msh | R6 Class Representing PosteriorBSVARMSH
specify_posterior_bsvar_sv | R6 Class Representing PosteriorBSVARSV
specify_posterior_bsvar_t | R6 Class Representing PosteriorBSVART
specify_prior_bsvar | R6 Class Representing PriorBSVAR
specify_prior_bsvar_exh | R6 Class Representing PriorBSVAREXH
specify_prior_bsvar_mix | R6 Class Representing PriorBSVARMIX
specify_prior_bsvar_msh | R6 Class Representing PriorBSVARMSH
specify_prior_bsvar_sv | R6 Class Representing PriorBSVARSV
specify_prior_bsvar_t | R6 Class Representing PriorBSVART
specify_starting_values_bsvar | R6 Class Representing StartingValuesBSVAR
specify_starting_values_bsvar_exh | R6 Class Representing StartingValuesBSVAREXH
specify_starting_values_bsvar_hmsh | R6 Class Representing StartingValuesBSVAHMSH
specify_starting_values_bsvar_mix | R6 Class Representing StartingValuesBSVARMIX
specify_starting_values_bsvar_msh | R6 Class Representing StartingValuesBSVARMSH
specify_starting_values_bsvar_sv | R6 Class Representing StartingValuesBSVARSV
summary.Forecasts | Provides posterior summary of Forecasts
summary.PosteriorBSVAR | Provides posterior summary of homoskedastic Structural VAR estimation
summary.PosteriorBSVAREXH | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVARHMSH | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVARMIX | Provides posterior summary of non-normal Structural VAR estimation
summary.PosteriorBSVARMSH | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVARSV | Provides posterior summary of heteroskedastic Structural VAR estimation
summary.PosteriorBSVART | Provides posterior summary of Structural VAR with t-distributed shocks estimation
summary.PosteriorFEVD | Provides posterior summary of forecast error variance decompositions
summary.PosteriorFitted | Provides posterior summary of variables' fitted values
summary.PosteriorHD | Provides posterior summary of historical decompositions
summary.PosteriorIR | Provides posterior summary of impulse responses
summary.PosteriorRegimePr | Provides posterior summary of regime probabilities
summary.PosteriorShocks | Provides posterior summary of structural shocks
summary.PosteriorSigma | Provides posterior summary of structural shocks' conditional standard deviations
summary.SDDRautoregression | Provides summary of verifying hypotheses about autoregressive parameters
summary.SDDRidMIX | Provides summary of verifying shocks' normality
summary.SDDRidMSH | Provides summary of verifying homoskedasticity
summary.SDDRidSV | Provides summary of verifying homoskedasticity
summary.SDDRidT | Provides summary of verifying shocks' normality
summary.SDDRvolatility | Provides summary of verifying homoskedasticity

## -- U --

us_fiscal_cond_forecasts | A matrix to be used in a conditional forecasting example including the projected values of total tax revenue that are projected to increase at an average quarterly sample growth rate. The other two columns are filled with 'NA' values, which implies that the future values of the corresponding endogenous variables, namely government spending and GDP, will be forecasted given the provided projected values of total tax revenue. The matrix includes future values for the forecast horizon of two years for the US fiscal model for the period 2024 Q3 - 2026 Q1.
us_fiscal_ex | A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 - 2026 Q1
us_fiscal_ex_forecasts | A 3-variable system of exogenous variables' future values for the forecast horizon of two years for the US fiscal model for the period 2026 Q2 - 2028 Q1
us_fiscal_lsuw | A 3-variable US fiscal system for the period 1948 Q1 - 2026 Q1
us_fiscal_sww | A 10-variable US fiscal system for the period 1948 Q1 - 2025 Q3

## -- V --

verify_autoregression | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVAR | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVAREXH | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARHMSH | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMIX | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARMSH | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVARSV | Verifies hypotheses involving autoregressive parameters
verify_autoregression.PosteriorBSVART | Verifies hypotheses involving autoregressive parameters
verify_identification | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVAR | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVAREXH | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVARHMSH | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVARMIX | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVARMSH | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVARSV | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_identification.PosteriorBSVART | Verifies identification through heteroskedasticity or non-normality of of structural shocks
verify_normality | Verifies normality of structural shocks equation by equation
verify_normality.PosteriorBSVAREXH | Verifies normality of structural shocks equation by equation
verify_normality.PosteriorBSVARHMSH | Verifies normality of structural shocks equation by equation
verify_normality.PosteriorBSVARMIX | Verifies normality of structural shocks equation by equation
verify_normality.PosteriorBSVARMSH | Verifies normality of structural shocks equation by equation
verify_normality.PosteriorBSVARSV | Verifies normality of structural shocks equation by equation
verify_volatility | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVAR | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVAREXH | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARHMSH | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMIX | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARMSH | Verifies heteroskedasticity of structural shocks equation by equation
verify_volatility.PosteriorBSVARSV | Verifies heteroskedasticity of structural shocks equation by equation