RcppBVAR is an R package for estimation of BVAR models. To enhance the speed of calculations, the code is written in C++. Note, that the package is in early development. Thanks!
To install the package:
install.packages("devtools")
devtools::install_github("akondrashov96/RcppBVAR")Add package as library:
library(RcppBVAR)Usage example:
freqVAR(series, p = 2)Plans:
- Add, actually, BVAR models
- Examples
- Datasets