bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2025) <doi:10.1016/j.ijforecast.2025.02.001>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.

Version:	0.1.6
Depends:	R (≥ 3.5.0)
Imports:	colorspace, factorstochvol (≥ 1.1.0), GIGrvg (≥ 0.7), graphics, MASS, mvtnorm, Rcpp (≥ 1.0.0), scales, stats, stochvol (≥ 3.0.3), utils
LinkingTo:	factorstochvol, Rcpp, RcppArmadillo, RcppProgress, stochvol, lpSolveAPI
Suggests:	coda, knitr, quarto, rmarkdown, testthat (≥ 3.0.0), lpSolveAPI, bsvarSIGNs
Published:	2026-01-28
DOI:	10.32614/CRAN.package.bayesianVARs
Author:	Luis Gruber [cph, aut, cre], Stefan Haan [aut], Gregor Kastner [aut, ths]
Maintainer:	Luis Gruber <Luis.Gruber at aau.at>
BugReports:	https://github.com/luisgruber/bayesianVARs/issues
License:	GPL (≥ 3)
URL:	https://github.com/luisgruber/bayesianVARs, https://luisgruber.github.io/bayesianVARs/
NeedsCompilation:	yes
Citation:	bayesianVARs citation info
Materials:	README, NEWS
In views:	Bayesian, TimeSeries
CRAN checks:	bayesianVARs results [issues need fixing before 2026-02-12]

Documentation:

Reference manual:	bayesianVARs.html , bayesianVARs.pdf
Vignettes:	Shrinkage Priors for Bayesian Vectorautoregressions featuring Stochastic Volatility Using the **R** Package **bayesianVARs** (source, R code) Compute Impulse Response Functions to Structural Shocks using **bayesianVARs** (source, R code) Scalability of bayesianVARs (source, R code)

Downloads:

Package source:	bayesianVARs_0.1.6.tar.gz
Windows binaries:	r-devel: bayesianVARs_0.1.5.zip, r-release: bayesianVARs_0.1.5.zip, r-oldrel: bayesianVARs_0.1.5.zip
macOS binaries:	r-release (arm64): bayesianVARs_0.1.5.tgz, r-oldrel (arm64): bayesianVARs_0.1.5.tgz, r-release (x86_64): bayesianVARs_0.1.5.tgz, r-oldrel (x86_64): bayesianVARs_0.1.5.tgz
Old sources:	bayesianVARs archive

Linking:

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