VARsignR: Estimating VARs using sign restrictions in R

Christian Danne

MPRA Paper from University Library of Munich, Germany

Abstract: VARsignR identifies structural shocks in Vector Autoregressions (VARs) using sign restrictions. It implements Uhlig’s (2005) rejection method, Uhlig’s (2005) penalty function approach, the Rubio-Ramirez et al. (2010) rejection method, and Fry and Pagan’s (2011) median target method. This vignette shows the usage and provides some technical information on the procedures that should help users to bridge the gap between VARsignR and the underlying technical papers.

Keywords: Sign restrictions; vector autoregression; Bayesian. (search for similar items in EconPapers)
JEL-codes: C32 C8 C87 E52 (search for similar items in EconPapers)
Date: 2015-12-18
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68429

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