Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix
Efficient algorithms for Bayesian estimation of Structural Vector Autoregressions with Stochastic Volatility heteroskedasticity, Markov-switching and Time-Varying Identification of the Structural Matrix, and a three-level global-local hierarchical prior shrinkage for the structural and autoregressive matrices.
To install the bsvarTVPs package just type in R:
devtools::install_git("https://github.com/bsvars/bsvarTVPs.git")
