fixed CRAN check (memory access) issues. Thanks to Brian Ripley for
pointing them out.
bayesianVARs 0.1.7
fixed CRAN check issues. Thanks to Brian Ripley for pointing them
out.
bayesianVARs 0.1.6
Welcome Stefan Haan as contributor to the package!
bayesianVARs now features impulse response functions via irf().
Thanks to Stefan for taking care of this!
bvar() now formally can estimate ‘huge’ VARs in combination with a
factor specification on the errors by setting ‘expert_huge=TRUE’.
Underlying ‘cpp’ functions of bvar(), predict() and vcov() now
return Rcpp objects instead of arma objects. Efficiency gains only
measurable in huge dimensions!
new additional unit tests (bayesianVARs/test/testthat)
internal restructuring of specify_prior_phi() and
specify_prior_sigma(), for users of bayesianVARs nothing changes
Updated references in DESCRIPTION, vignette and function
documentations.
bayesianVARs 0.1.5
Bug fix which makes estimation possible of a VAR with factor
stochastic volatility structure on the errors with the restriction that
the loadings matrix has zeros above the diagonal. Thanks to Stefan Haan
for reporting the bug.
bayesianVARs 0.1.4
For consistency with other functions, from now on prior_intercept in
bvar() specifies standard deviations instead of variances.
Bug fix concerning ‘additional check’ valgrind. Seems to pass the
check now. Thanks to Brian Ripley for reporting the bug.
bayesianVARs 0.1.3
bugfix concerning VAR with factor structure on errors with
homoscedastic factors.
bayesianVARs 0.1.2
Added minimum version to factorstochvol in the Imports field of the
DESCRIPTION file in order to avoid unnecessary building errors. Thanks
to Sergey Fedorov for pointing this out.
vcov.bayesianVARs_bvar method now can be specified for specific
time-points.
bugfix in cpp function which constructs variance-covariance
matrices. If a Cholesky structure for the errors had been specified,
exported functions such as vcov, predict and fitted were affected.