Implements Bayesian estimation of structural Vector Autoregressions in the asymmetric A-form of Chan (2022) <doi:10.3982/QE1381>, with an asymmetric Minnesota prior whose own-lag and cross-lag hyperparameters are selected by empirical Bayes via the closed-form marginal likelihood. Exact equation-by-equation posterior simulation in the structural form (independent Normal-Inverse-Gamma draws) provides posterior draws of the reduced-form parameters; structural identification through sign restrictions follows the algorithm of Rubio-Ramirez, Waggoner and Zha (2010) <doi:10.1111/j.1467-937X.2009.00578.x>. Impulse responses, posterior bands, and acceptance diagnostics are computed from the accepted draws.
| Version: | 0.2.0 |
| Depends: | R (≥ 4.0) |
| Imports: | stats, utils, graphics, grDevices |
| Suggests: | bsvarSIGNs, bsvars, knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2026-10-31 |
| DOI: | 10.32614/CRAN.package.acpbvar (may not be active yet) |
| Author: | Federica Ursillo [aut, cre] |
| Maintainer: | Federica Ursillo <federica.ursillo at outlook.com> |
| BugReports: | https://github.com/ursillofederica/acpbvar/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/ursillofederica/acpbvar |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | acpbvar results |
| Reference manual: | acpbvar.html , acpbvar.pdf |
| Vignettes: |
acpbvar on real data: the monetary policy shock of Uhlig (2005) (source, R code) acpbvar: a complete workflow (source, R code) |
| Package source: | acpbvar_0.2.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available |
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