Package: bvars
Type: Package
Title: Bayesian Forecasting with Large Vector Autoregressions
Version: 1.0
Date: 2026-06-03
Authors@R: c(person("Rui", "Liu", , "rl3023@columbia.edu", role = c("aut"), comment = c(ORCID = "0009-0008-9348-8581")),
             person("Andrés", "Ramirez Hassan", , "aramir21@gmail.com", role = c("aut"), comment = c(ORCID = "0000-0002-0467-7903")),
             person("Tomasz", "Woźniak", , "wozniak.tom@pm.me", role = c("aut", "cre", "cph"), comment = c(ORCID = "0000-0003-2212-2378")))
Maintainer: Tomasz Woźniak <wozniak.tom@pm.me>
Description: Provides fast and efficient procedures for Bayesian estimation and forecasting using state-of-the-art Vector Autoregressions. This package includes the model proposed by Chan (2020) <doi:10.1080/07350015.2018.1451336>, that is, a Bayesian Vector Autoregression with Minnesota priors and a flexible structure of the error term specification. The latter includes: conditional multivariate normal or Student’s t distributions, as well as homoskedastic or heteroskedastic specifications with a common volatility modelled by centred or non-centred Stochastic Volatility. Additionally, the package facilitates predictive analyses using density forecasting and forecast-error variance decompositions. All this is complemented by simple workflows, useful plots and summary functions, and comprehensive documentation. The 'bvars' package aligns with R packages 'bsvars' by Woźniak (2024) <doi:10.32614/CRAN.package.bsvars>, 'bsvarSIGNs' by Wang & Woźniak (2025) <doi:10.32614/CRAN.package.bsvarSIGNs>, and 'bpvars' by Woźniak (2025) <doi:10.32614/CRAN.package.bpvars> regarding objects, workflows, and code structure, and they constitute an integrated toolset.
License: GPL (>= 3)
Depends: R (>= 4.1.0), RcppArmadillo, bsvars
Imports: generics, Rcpp (>= 1.0.14), RcppProgress, RcppTN, R6
LinkingTo: Rcpp, RcppArmadillo, RcppProgress, RcppTN, bsvars
URL: https://bsvars.org/bvars/
BugReports: https://github.com/bsvars/bvars/issues
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.3
NeedsCompilation: yes
Packaged: 2026-06-03 08:54:49 UTC; twozniak
Author: Rui Liu [aut] (ORCID: <https://orcid.org/0009-0008-9348-8581>),
  Andrés Ramirez Hassan [aut] (ORCID:
    <https://orcid.org/0000-0002-0467-7903>),
  Tomasz Woźniak [aut, cre, cph] (ORCID:
    <https://orcid.org/0000-0003-2212-2378>)
Repository: CRAN
Date/Publication: 2026-06-08 19:40:12 UTC
Built: R 4.6.0; aarch64-apple-darwin23; 2026-06-08 22:15:39 UTC; unix
Archs: bvars.so.dSYM
