# Markov-Switching, Bayesian, Vector Autoregression Models

## Documentation for package ‘MSBVAR’ version 0.9-3

- DESCRIPTION file.

## Help Pages

A02mcmc | Converts A0 objects to coda MCMC objects
BCFdata | Subset of Data from Brandt, Colaresi, and Freeman (2008)
cf.forecasts | Compare VAR forecasts to each other or real data
ddirichlet | Random draws from and density for Dirichlet distribution
decay.spec | Lag decay specification check
dfev | Decompositions of Forecast Error Variance (DFEV) for VAR/BVAR/BSVAR models
forc.ecdf | Empirical CDF computations for posterior forecast samples
forecast | Generate forecasts for fitted VAR objects
gibbs.A0 | Gibbs sampler for posterior of Bayesian structural vector autoregression models
gibbs.msbvar | Gibbs sampler for a Markov-switching Bayesian reduced form vector autoregression model
granger.test | Bivariate Granger causality testing
HamiltonGDP | Quarterly U.S. GDP Growth, 1952Q3-1984Q4
hc.forecast | Forecast density estimation of hard condition forecasts for VAR models via MCMC
initialize.msbvar | Initializes the mode-finder for a Markov-switching Bayesian VAR model
irf | Impulse Response Function (IRF) Computation for a VAR
irf.BSVAR | Impulse Response Function (IRF) Computation for a VAR
irf.BVAR | Impulse Response Function (IRF) Computation for a VAR
irf.VAR | Impulse Response Function (IRF) Computation for a VAR
IsraelPalestineConflict | Weekly Goldstein Scaled Israeli-Palestinian Conflict Data, 1979-2003
ldwishart | Log density for a Wishart variate
list.print | Prints a list object for the VAR and BVAR models in MSBVAR
mae | Mean absolute error of VAR forecasts
mc.irf | Monte Carlo Integration / Simulation of Impulse Response Functions
mcmc.szbsvar | Gibbs sampler for coefficients of a B-SVAR model
mean.SS | Summary measures and plots for MS-B(S)VAR state-spaces
mountains | Mountain plots for summarizing forecast densities
msbvar | Markov-switching Bayesian reduced form vector autoregression model setup and posterior mode estimation
msvar | Markov-switching vector autoregression (MSVAR) estimator
normalize.svar | Likelihood normalization of SVAR models
null.space | Find the null space of a matrix
plot.forc.ecdf | Plots VAR forecasts and their empirical error bands
plot.forecast | Plot function for forecasts
plot.gibbs.A0 | Plot a parameter density summary for B-SVAR A(0) objects
plot.irf | Plots impulse responses
plot.mc.irf | Plotting posteriors of Monte Carlo simulated impulse responses
plot.ms.irf | Color plot of MSBVAR impulse response functions
plot.SS | Summary measures and plots for MS-B(S)VAR state-spaces
plotregimeid | Clustering and plotting function for msbvar permuted sample output
posterior.fit | Estimates the marginal likelihood or log posterior probability for BVAR, BSVAR, and MSBVAR models
print.dfev | Printing DFEV tables
print.posterior.fit | Print method for posterior fit measures
rdirichlet | Random draws from and density for Dirichlet distribution
reduced.form.var | Estimation of a reduced form VAR model
regimeSummary | Regime probability summaries and regime duration estimates based on MCMC output for MSBVAR models
restmtx | Utility function for generating the restriction matrix for hard condition forecasting
rmse | Root mean squared error of a Monte Carlo / MCMC sample of forecasts
rmultnorm | Multivariate Normal Random Number Generator
rwishart | Random deviates from a Wishart distribution
simulateMSAR | Simulate (univariate) Markov-switching autoregressive (MSAR) data
simulateMSVAR | Simulate a Markov-switching VAR (MSVAR) process
SS.ffbs | State-space forward-filter and backwards-sampler for a Markov-switching VAR model
sum.SS | Summary measures and plots for MS-B(S)VAR state-spaces
summary | Summary functions for VAR / BVAR / B-SVAR model objects
summary.dfev | Printing DFEV tables
summary.forecast | Summary functions for forecasts obtained through VAR / BVAR / B-SVAR model objects
SZ.prior.evaluation | Sims-Zha Bayesian VAR Prior Specification Search
szbsvar | Structural Sims-Zha Bayesian VAR model estimation
szbvar | Reduced form Sims-Zha Bayesian VAR model estimation
uc.forecast | Forecast density estimation unconditional forecasts for VAR/BVAR/BSVAR models via MCMC
var.lag.specification | Automated VAR lag specification testing
Y | Subset of Data from Brandt, Colaresi, and Freeman (2008)
z2 | Subset of Data from Brandt, Colaresi, and Freeman (2008)