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bvhar 1.1.0
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@ygeunkim ygeunkim released this 18 Dec 06:26
· 2 commits to be0ec554561afc9984489bde68c2df05aa7dcece since this release
v1.1.0
31d0a1b

  • For new research, add new features for shrinkage priors.

  • Add Shrinkage priors SSVS and Horseshoe (bvar_ssvs(), bvhar_ssvs(), bvar_horseshoe(), and bvhar_horseshoe()).

  • bvar_sv(), bvhar_sv() works with SSVS (set_ssvs()) and Horseshoe (set_horseshoe()).

  • Update the shrinkage structure in the spirit of Minnesota. (minnesota = TRUE, minnesota = c("no", "short", "longrun")).

  • Stochastic volatility models implement corrected triangular algorithm of Carriero et al. (2021).

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