Bayesian Macroeconometrics in R

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BMR (Bayesian Macroeconometrics in R) is an R interface to BMLib, a templated C++ library for estimating Bayesian Vector Autoregression (BVAR) and Dynamic Stochastic General Equilibrium (DSGE) models.


Features

Author: Keith O'Hara

License: BMR is licensed under the GNU General Public License (GPL) version 2, or (at your option) any later version.


Download and Installation


Package requirements: R (v3.40, or above) and Rcpp, RcppArmadillo, ggplot2, and grid (this comes pre-packaged with R).

The source code is available on GitHub. You need to install BMR from source.


Documentation

The vignette (linked above) is intended to be a comprehensive guide to the routines (and what goes on under the hood, so to speak) and should be consulted first before submitting any questions to me about the package. I am more than happy to receive bug reports (and comments in general) about BMR, use the contact tab above to do so, but I am not willing to provide technical support for the package. (Technical support in the sense of 'how do I get my model into the required format', or 'what prior should I use'.)

After installing BMR, the user can check if everything is working as intended by typing:

library(BMR)
data(BMRVARData)

This should load BMR and place a dataframe called 'USMacroData' into the workspace.

Replication Files

Replication files can be found in the tests folder.